uses
  JPEG, Graphics;

procedure JPG2BMP(JPGFileName, BMPFileName: String);
var
  MyJPEG: TJPEGImage;
  MyBMP: TBitmap;
begin
  MyJPEG := TJPEGImage.Create;

  with MyJPEG do
  begin
    LoadFromFile(JPGFileName);
    MyBMP := TBitmap.Create;

    with MyBMP do
    begin
      Width  := MyJPEG.Width;
      Height := MyJPEG.Height;
      Canvas.Draw(0, 0, MyJPEG);
      SaveToFile(BmpFileName);
      Free;
    end;
    Free;
  end;
end;