Yes, with the specific example you provided (psd to jpg) you could use Adobe Photoshop to do the swap.
Open the .psd file in Photoshop, select File -- %26gt; Save As.. then select jpg.|||just click save as... then type ____.jpg. i think :P|||the first answer is correct, but a faster way is to convert the files if you have a converter, right click on the file and convert it....|||see if u rename the file its not going to help u change the file extension. You need to use a software like irfanview, ACDsee, adobe photoshop ...its better to use irfanview because its a freeware i.e a free software. Just open the file , click on save as and save in whichever format u want...hope that solves ur prob