Hi jtk,
If you are using Windows 2000 SP3, I think u shud be able to save it as JPG in MSPaint.
If you have got ACDSee it is easy! Just open the BMP file and save it as JPG.
If you have got any other image editors like Adobe PhotoShop or CorelDraw or etc. just open it via the program and save it as JPG.
I hope that would help compressing a BMP screenshot, and I am sorry I am not able help you atm.
Yours,
McoreD