I use MikTeX... and I use latex, then dvips, then ghostscript (ps2pdf?) to get a .pdf file.
I don't use pdflatex.
With my setup, I routinely include .png files... without any conversion to .eps.
I also include .eps files produced by gnuplot and by Maple.
The URL you gave suggests that you can include .png and .jpg, as well as .eps.
It does also suggest that any non-bitmapped images (e.g. non-.eps vector graphics or some other layered-format) be converted to .eps first... i.e. don't expect that those other formats will be handled corectly by your latex setup,