If you are on Windows, the simplest thing to do is oprn the BMP file in the Windows Paint program (mspaint.exe), and then click "File ==> Save As" and there you can choose the format to save sa - just choose JPEG.
If you want to do some smarter image conversion, the best program I know is Gimp - it is almost as good as PhotoShop, but free
you can get it here:
http://www.download.com/GIMP/3000-2192_4-10073935.html