They store them in every different formats to, sometimes BMP or GIF but most of them in JPG.
No need to convert, heres a helpful hint: Sometimes when you enlarge the cover, it turns into a .bmp, even though IE path says its a .jpg.
Instead of enlarging it, then right-click, save do this:
Right-click the little image, then choose "Save target as". It will save it as a .jpg for ya.
Try it, thought I could help,
Fat Johnny