If you use the windows vista/7/8 snipping tool, you can save it as a png or jpg. If you use paint, you can do the same.
For a dedicated screenshot utility, I prefer to use greenshot, since I can easily crop, highlight, mark, and obfuscate before saving. However, if you don't work with screenshots often, this tool might not be all that useful for you.
To re-save/edit/compress/convert after the fact, Irfanview usually does the trick.