GIMP is a wonderful open tool that is completely free for downloading. It is very versatile and useful for amateurs and enthusiasts alike.
Conversion of a file from BMP to JPEG (xxx.JPG) is easy to do in GIMP. A free alternative is the Windows PAINT application (recent Windows versions).
On the same pulldown tab, click SAVE. You have the option to save in several formats. Pick JPG. It is just that easy!