uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls, Buttons, Jpeg;    procedure TForm1.Button1Click(Sender: TObject);
       var 
         MyJPEG : TJPEGImage;
         MyBMP  : TBitmap;
       begin 
         MyBMP := TBitmap.Create;
         with MyBMP do 
           try
             {Load the BMP} 
             LoadFromFile('YourBmpHere.BMP');
             MyJPEG := TJPEGImage.Create;
             with MyJPEG do begin 
               Assign(MyBMP);
               {Save the JPG}
               SaveToFile('YourJpegHere.JPEG');
               Free;
             end; 
           finally
             Free;
           end; 
       end;