What castlewars said, all you can do is to resave the BMPs as PNGs. You'll somehow have to unlock the screenshots, sorry.

So far, there's no way to save screenshots as JPGs or PNGs; but if I remember correctly, it's a planned feature for SMBX 1.3.0.2.
MandL27 wrote:I tried using one on my computer (both MS Paint and Adobe Fireworks) and I got an error saying that the file can't be edited.
Did you install SMBX to C:\SMBX? That usually causes problems with editing files; try installing SMBX in C:\Program Files (x86)\SMBX instead.