Well yeah I guess you should, depends on the file. If it's a picture file, I don't think you need to. As long as you have Windows set to show file extensions on known file types. If it's something like picture.jpg.vbs or picture.jpg.exe then it's more than likely a virus but I don't think picture files can be viruses.
But yeah you should scan, everything that you get from everyone.

I don't usually, if I know, that my friends are sending it. It's a poor choice on my part but that's a choice I'm making.