There are lots (and lots) of file conversion programs that can do the job.
However one program that everyone should have on their computer is the wonderful Irfanview:
http://www.irfanview.com/
At its most basic it's an outstanding image-viewing program (which is vastly better than the rubbish stuff that comes with Windows) but it can do much, much more.
To change the format of an image (e.g. from .png to .jpg), simply open the image and then go to File > Save As. Use the 'Save as type' box to choose the output format you require, change the file name (if you want to) and click 'Save'. (There's also a 'Batch convert' facility, available from the File menu, if you've got lots of files to convert).