You can't automaticly save them - but you can convert them as Eagle says. Just open the image in Microsoft Paint, then click File:Save As and on the pulldown menu at the bottom, select JPEG instead of Bitmap.
I don't remember if 95/98 support jpeg in paint though, so it might not work on those?
There are converters that can mass convert images, search at like download.com or hotfiles.com, I don't know any names though.