This is based on RTSP communication example by GriffinRU. Only instead of saving H.264 stream to file, it converts MJPEG stream to JPEG files according to according to RFC 2435 standard.
What is not implemented:
VIs description
RTP and RTSP VIs are described in aforementioned document.
RTP_RTSP - Parse JPEG payload

VI parses the payload, extracts headers and appends image data to previous data until RTP marker becomes TRUE.
Parse main header

Extracts JPEG's main header
Parse restart markers

Reads Restart Marker Header if image type is 64-127.
Parse quant tables

If Q-factor is 128-255 VI reads quantization table header and data from the payload. If quantisation header is present, but tables length == 0, it uses tables from previous payload.
Generating tables from Q-factor can be added here, or in the next VI.
JPEG is marked as ready according to RTP marker.
Create JPEG image

Recreates JPEG image from recieved data. Restart marker header is not used. Huffman tables are created according to example in RFC 2435 Appendix B.
It might be wise to check for EOI marker (0xFFD9) here, but I was in a hurry.
JPEG string to picture

That is just sad. I'm going to try this solution someday, and update this document.
That's it!
Example code from the Example Code Exchange in the NI Community is licensed with the MIT license.