The instructions for every wheel jack I have encountered always
say jack the frame, never
the axle. That's been true for every vehicle I've owned. Take a look at the owner's manual for your car or any other vehicle you have.
Instead of transcribing the instructions from my owner's manual I found on the web these directions from AL-KO for their caravan (trailer) jack -- they're similar enough to serve our purpose:
JACK OPERATING INSTRUCTIONS
1 Attach caravan to the towing vehicle and apply the handbrake on both towing vehicle and caravan.
2 In the case of manual towing vehicles, select 1st or reverse gear; with automatic towing vehicles, place the selector lever in the "P" position.
3 As an additional safety measure chock the caravan wheel (back and front) on the opposide to the one to be changed.
4 Clean jack mounting brackets on the caravan if necessary.
5 Remove jack from storage bag (if applicable).
6 Extend spare wheel carrier (if applicable) to remove spare wheel.
7 If the ground is soft or likely to giveway, put a plank or something similar under the base plate of the jack.
8 Slot the insert piece (fig 4/item 1) into the jack mounting bracket (fig 4/item 2) until it connects. (ed: this step fits a slot in the top of the jack to the flange on the frame)
9 Holding the jack with one hand, turn the jack handle in a clockwise direction until the base plate reaches the ground.
NOTE: Wear gloves when winding up the jack (protection against hand injury).
9.1 Before operating jack, please check jack components are not catching on side overhang of caravan.
The base plate must sit flat on ground, vertical to chassis member.
If these precautions are not observed; there is danger of damage to the vehicle jack or caravan.
10 Lift caravan by continuing to turn the handle in a clockwise direction (only lift the vehicle until the wheel is no longer in contact with the ground).
Never lie underneath a jacked-up vehicle, as this is dangerous and could result in serious injury.
That final warning is the reason many (me included) also use jack stands when I'm going to put any part of my body under the vehicle while a wheel is off. I use the jack to raise the vehicle and then place a jack stand under the frame and let the jack back down so the jack stand is taking the weight
BTW, I agree with Jake that it is best to loosen the wheel nuts before jacking up the vehicle. And do the final tightening after the jack stand and jack have been removed.