How to transfer ONE photo FROM PC to iPhone 6
The Apple way is to pick a folder on your PC for sync. You do this through iTunes, by connecting your phone and picking the photos tab. Full information here: http://support.apple.com/kb/ht4236

However, if it's just 1 or 2 photos, the easiest way is to use Dropbox (you have Dropbox right?). Put the photo in your Dropbox, go to the same folder using the Dropbox app on your phone, click on the photo, click the little share button in bottom left, and then choose "Save Image."