Screenshots are by default targe, or .tga, format. I don't know if you can change a setting in the game to save them in a different format, but you can open a targa file with most popular photo / paint programs, then save it as a jpeg.
Just open the screenshot with paintshop pro, or photoshop, or picture-it. Usually one comes with your computer. Then go up to save as and change it to a .jpg file.