Yeaaaaaaah of course just changing the extension to jpg will work..

I mean, forget all about the entire point of the jpg format, what you really want is the name..
Honestly, I've never used ms paint to the point where I would know the answer to this, cause well, it sucks. I have no idea why it would save as jpg once and not anymore, but then, see above, ie it sucks.
acdsee is fast and it rocks, it's mostly an image browser program, but it has basic editing functions including batch conversion to any file format you care to name. v useful.