You don't need to create a DC (pMDC). Just use the DC from sm_img (sm_img.GetDC()):
CImage img;
CImage sm_img;
HRESULT res = img.Load(jpgFileName);
CDC *screenDC = GetDC();
int iNewWidth = 80;
int iNewHeight = 60;
sm_img.Create(iNewWidth, iNewHeight,32);
SetStretchBltMode(sm_img.GetDC(),COLORONCOLOR);
img.StretchBlt(sm_img.GetDC(),0, 0, iNewWidth, iNewHeight, SRCCOPY);
HDC hdcpic = ::GetDC(m_ClipPreview.m_hWnd);
img.StretchBlt( hdcpic,0, 0, iNewWidth, iNewHeight, SRCCOPY);
sm_img.Save(jpgFileName);
ReleaseDC(screenDC);
Hope it helps
I added one line
sm_img.ReleaseDC();
in the end to avoid error when exiting the function