You can do this at a few locations, but my favorite is Irfanview, a free downloadable program. It is available at http://www.irfanview.com/

Once you have it installed, click on your icon to open the program. Now click on the little manila folder and choose where you have your image located. Make sure on the little drop down arrow box that you have "files of type" set to "all files" where you can locate your image. (Unless you definitely know that what you're looking for is a jpeg, bmp, etc. - in that case you could click on that specific file type and only those images will be shown.)

Now click on your image and then click "open". Go up to "file" and then to "save as" and again look where it says "files of type". Scroll down the list and find what you would like to change it to. Then click on that and then click "save" and you're image is changed and ready to use!