Raster images can't reasonably be 'converted' to PDF (without lots of clever code to recognise paths, text etc within an image). However, you can include an image in a PDF, and if that's all you want in the PDF, it is a fairly trivial one. JPEGs can be included verbatim, other formats you will have to construct the bitmap in simple 32 bit (might be 24, it's a while since I did this) format and then optionally compress it (gzip, use SharpZipLib for that in my opinion, I know that's third party but it's LGPL and good) before including it.
Vector images can be converted to PDF, and since vector image formats are generally based on PostScript, it is usually relatively easy to do so.
To create a PDF you need to understand the file format. Griff posted a link, but I recommend looking at one of the earlier versions of the spec located
here[
^], as the fewer features you have to learn the easier it is to create a working document. PDF 1.3 contains everything you are likely to want.