var bmp :TBitmap;
    jpg :TJpegImage;
    sFile :String;
begin    
  if OpenDialog1.Execute then
  begin
    try
      sFile := OpenDialog1.FileName;
      bmp := TBitmap.Create;
      bmp.LoadFromFile(sFile);
      jpg := TJpegImage.Create;
      jpg.Assign(bmp);
      sFile := ExtractFileName(sFile);
      sFile := ChangeFileExt(sFile,'.jpg');
      jpg.SaveToFile(sFile);
    finally
      bmp.Free;
      jpg.Free;
    end;
  end;
end;