You can set the type of image created by typing the following in Terminal:

defaults write NSGlobalDomain AppleScreenShotFormat [imageFormat]

where [imageFormat] can be JPEG, TIFF, PNG, or PICT (TIFF is the default). It's likely you'll have to logout/login to get the changes to take effect.

From a Run command (Win+R):

msconfig (system configuration utility)

services.msc (services editor)

gpedit.msc (group policy editor)