How you change them will depend upon which software you use. Irfanview is an excellent (free) image
viewing program, which deserves a place on every PC. But it's also useful for basic image manipulation requirements (such as removing 'red-eye' or changing brightness and contrast) and great for file conversions (either individually or in bulk), such as the ones you're considering:
http://www.irfanview.com/
First, create an empty folder (anywhere you like), to hold your converted image files.
In Irfanview, go to File > Batch Conversion/Rename
Check that 'Batch conversion' is selected under 'Work as'
Use the navigation facilities, at the top right, to go to the folder which holds the bmp files you want to change to jpegs. (Thumbnails will be displayed in the pane)
Assuming that you want to convert every file in that folder, click 'Add all'. (Otherwise click on individual files and then click 'Add'. To select a block of files, click on the first one then hold down 'Shift' while clicking on the last one. To select a group of individual files, click on them (one by one) while holding down Ctrl).
Check that the output format is set to JPG
Use the 'Browse' button to navigate to the folder where you want the converted files to go.
Click 'Start batch'
Chris