All you have to do is load the .JPG up an almost any image viewer and then save the image in .BMP format (or any other format). InfanView is a free viewer which can convert between plenty of different formats including jpeg, bmp, gif, tif, etc.
I do lots of image editing and there is no problem loading in a .JPG and then saving it as a .BMP in all the various programs I use (paint shop pro, PhotoShop, IrfanView). Either your paint program has a bug or you used it improperly. Just try IfranView and you'll have no problems.
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