If you remove escape level, the actual regex is
^(([a-zA-Z]:)|(\\{2}\w+)\$?)(\\(\w[\w].*))+(.jpeg|.JPEG|.jpg|.JPG)$
After ^start the first pipe (([a-zA-Z]:)|(\\{2}\w+)\$?) which matches an alpha followed by a colon or two backslashes followed by one or more word characters, followed by an optional literal $. There is some needless parenthesis used inside.
The second part (\\(\w[\w].*))+ matches a backslash, followed by two word characters \w[\w] which looks weird because it's equivalent to \w\w (don't need a character class for second \w). Followed by any amount of any character. This whole thing one or more times.
In the last part (.jpeg|.JPEG|.jpg|.JPG) one probably forgot to escape the dot for matching a literal. \. should be used. This part can be reduced to \.(JPE?G|jpe?g).
It would match something like
A:\12anything.JPEG
\\1$\anything.jpg
Play with it at regex101. A better readable could be
^([a-zA-Z]:|\\{2}\w+\$?)(\\\w{2}.*)+\.(jpe?g|JPE?G)$
Also read the explanation on regex101 to understand any pattern, it's helpful!