DougyFrisch
+1y
you need to explain what you need an AI file for... By dragging it over, you'll just have a jpeg file embeded into an AI file. If you use the "place" option then you'll have a linked jpeg file inside your AI file, therefor if you move the original jpeg file into another folder or delete it then the image will no longer show up in illustrator....
now i'm going to guess that someone told u "i need that to be an AI file to use it..." for whatever reason. But in reality what they need is a vector file, which comes in the form of AI, EPS, etc... so if you give some more info i'd be more then happy to help you.