I've had the same problem with my PC. With the Mac, which I am on now, I don't have that problem of art and bmp as my only choices.
One way around it is to download the picture when it first comes up as a choice out of many. When you do that, it usually is a gif or jpeg. But if you click on it to get a bigger version and then download it, for some reason it is always a bmp or art.
Also if you have a scanner you can always print and scan it as a jpeg.
Finally, if none of that works, there are some software, including Paint I think, that will convert a bmp into a jpeg.
I'd encourage you to get a Mac.

Jack