MJPEG stands for Motion-JPEG which is a format for encoding video as series of frames each converted to JPEG image. The format is widely used by Canon digital cameras (and to less extent other digital camera manufactures) Unlike other video encoding methods, like MPEG, each frame is independent of other frames which has several advantages (easier editing of video, no degradation in quality when the footage contains fast movement). The file size will be higher than MPEG codec variants but lower than uncompressed formats.
Now to the question whether to convert it to other format - first, you can not gain quality by converting, only lose. So the reason for converting would be either to reduce file size or for compatibility with devices that may not support MJPEG (which is less popular codec on anything that is not Canon digital camera). There is no way to make Canon A610 to produce the movie in another format so if the reasons above do not apply, leave it as MJPEG.
So, if you only want to view the movies on your computer and don’t have a disk space problem, grab a MJPEG codec and continue watching the movies in MJPEG. You can download a MJPEG codec here.
If you still want to convert it to other format, you still need the MJPEG codec and a codec for the output format (DivX, Xvid, MPEG-2 and so on). I mainly use Xvid but there are many options here, each with its advantages and disadvantages. You can get most of the popular ones on free-codecs. I recommend the k-lite codec pack which is a nicely organized package of popular codecs and tools.
As for converting tool, I use VirtualDub which has a somewhat steep learning curve but is free and can do almost all common tasks such as converting, applying filters and simple editing. There are many other tools, of course, some free others expensive and complex. VirtualDub is considering the Swiss army knife of video editing.
For more information about converting and editing video, refer to the excellent guides on VideoHelp.com
Hope this helps