A saving question...

I've just made an icon..but when I saved it in jpeg the quality of the icon turned out to be really bad. I saved it on bmp and the icon is the same as when I've made it. But I really want it to be in jpeg. I know I have seen other users ask for this, but I just went through the «Search» and «Memory» sections without finding anything. My question is: How can I save my icon in jpeg (or go from a bmp file to a jpeg) without loosing the quality of the graphics, icons, etc. Thanks.

Here's an example:



BTW: I had to save this in bmp too, so I don't loose the quality and show exactly what I mean :S