ie MS Paint. Start > Programs (or All Programs) > Accessories > Paint.

Right click anywhere in the white screen on there and click Paste, click File, Save As..., select your directory (ie desktop, just click the drop-down box), choose your filename (whatever you want the picture to be named), then select JPEG Format (.JPG) from the drop-down box on the bottom... "File Type".

Maybe tonight we'll fly so far away... We'll be lost before the dawn...