Naz_Nomad's answers are perfectly correct but most people don't have Photoshop.
There are plenty of other programs which can do the same job, including the wonderful IrfanView. (It's a great image viewing/manipulation program which should be on everyone's PC).
Get IrfanView, for free, here:
http://www.irfanview.com/
Open your image file in IrfanView, then select 'Image' and 'Convert to Greyscale'. That will do the job but you can probably improve on the result if you then select 'Image' and 'Enhance Colours'. (Yes, I know that there won't be any colours to enhance but you'll now see sliders allowing you to adjust the brightness and contrast). To save the image, select 'File' and 'Save as'. (NB: Don't select 'Save' or you could over-write the original colour file).
As I've said, IrfanView is great for basic image manipulation but you should already have similar software because your digital camera should have been supplied with some image manipulation software. (Use the help file, within your program, to search for 'greyscale' to find out how to do this with your existing software).
Lastly, if you want to be able to use all sorts of image manipulation techniques (and you're not satisfied with the software which came with your camera), download Photoplus 6.0, for free, here:
http://www.freeserifsoftware.com/
Chris