Converting a bitmap to a jpg is one of the most basic and simplest of all image manipulation operations. Bitmaps are huge files, so by using jpeg compression, you can reduce the size of the image substantially, thereby saving bandwidth and not annoying your readers with huge files, huge bandwidth use and long download times.
If you are going to be working with images, you should have a good image program installed in your computer so that you can handle the task properly. Relying upon online or barebones services will give you low quality images. The whole purpose of using jpg compression is so that your images are not overly large for their purpose.
If you are a professional photographer and are showing off your work, you might want high quality / high bandwidth images so that your readers can see the quality of your work.
For most others, compression is far more important so that the images will load quickly and not hog bandwidth.
An application like "The Gimp" gives you the flexibility to decide upon the level of compression (85% is usually great for most uses) and this will have a huge impact on your file size. Read more about "The Gimp".
You already have MS Paint installed in your PC, so you can simply use that to convert a bmp to jpg. You do not need to install anything. You do not get the flexibility you would have with the Gimp, for example, you cannot change the compression or size (in kb) of the image.
You can easily make a screenshot in windows by simply pressing either:
This automatically creates a bitmap of the screen.
Here is a selection of tools that you can use for creating, editing, manipulating and working with bitmaps: