Picture Files.

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 tried opening a .jpeg or a .jpg file in a 'Paint' program, then saving it as a bitmap file, but when I tried loading it I got an error. So scratch that part I'm afraid.

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.