if you wanted to do it with a whole load of files, go to
www.google.com, and search for gif2jpg.exe. If that doesnt work, try gif2jpeg.exe. If that doesnt work, try gif to jpg converter. You should get a command line bsed converter by then.
save it in c:\windows, go to the dir you want, and then type in gif2jpg *.gif. read the built in help for naming practices, etc.