HERE is a discussion of what a NEF file is, basically NIKON trying to make more money (IMHO).
Something you can try, but may not work, is (in Photoshop) click File/Open As. If NEF is listed you are in luck. If it is not you are out of luck. I would also Google around; you never know, some techie may have come up wih a free converter.
The given reason by Nikon is that JPEG is a lossy file format, albeit an excellent one. So the need for a "new format" that is not lossy. Personally, I have been using JPEG for years and have yet to discern any difference in color and resolution after several edits and saves. I think the whole "lossy" thing is largely a teckie academic argument and has no practical impact in the real world of photography.