Actually, file size (my original guess) doesn't seem to be the limiting factor here. Using the "link from web" option I was able to embed this 4.5 MB file.
If I download it and try to upload it from my computer it rejects it with the error message "Your image is too large to upload (over 2 MB)".
Based on your last comment I'm guessing you were trying to upload the wikipedia media page, not the image itself. That means you're trying to give it a web url that serves an html page (and happens to end in .jpg even though it's not actually a link to an image). One hint of this fact is that the title of the page is "File:Soyuz rocket ASTP.jpg - Wikipedia, the free encyclopedia" - it containing text after the .jpg extension means that it's not just a jpg file. You can also check this by pressing ctrl-s to save the page - if the extension it provides is .html the url isn't an image.
To get a link to the image itself from a wikipedia media page you can click on the displayed image or copy the url of one of the links displayed under it.