I think you know that any image taken with the print screen function is
placed in the clipboard memory. That image can be pasted into any new image
format.
You are probably using Paint, which defaults to saving as a bitmap. Using a
more powerful graphics editor would expand the number of filetypes you could
'save as', (although I think you will find that even Paint can 'save as' a
..jpg.)
IrfanView - one of the most popular viewers worldwide:
http://www.irfanview.com/