So, are screenshots taken from the game .jpg? If not, I've got a lot of posts to make, starting as soon as I actually get around to making that MS Paint picture.
It depends upon what you do.
If you simply press the Print Screen key, then a screenshot will be saved in a low-resolution .jpg file. Low-resolution just means that you will lose some of the image's quality. These files get saved in your "My Documents\My Games\Beyond the Sword\ScreenShots" directory and have file names similar to "Civ4ScreenShot0000.JPG."
If, instead, when you press the Printscreen key, you paste into MS Paint, then you'd presumably need to save the file. MS Paint defaults to saving images as .bmp files.
.bmp files essentially have 1 byte of data per pixel, plus additional data--so the file sizes can become very huge. .jpg files use a compression algorithm that stores more info in a smaller format. However, there are a ton of different compression algorithms for .jpg files, with some of them giving better resolutions than others.
When I save a file in MS Paint, I actually save it as a .bmp file and then use a separate program (called ACDSee, but there are a ton of image manipulation programs out there) to convert it from a .bmp to a .jpg file for me. ACDSee allows me to select the compression ratio when converting file format types, so I can pick a balance between smaller file sizes and better resolution (i.e. nicer-looking pictures).
My version of MS Paint saves .jpg files (when I used the File -> Save As... option and select the .jpg file type) with a relatively low resolution, which is why I use an external program to perform the file conversion for me. However, for your purposes, using the File -> Save As... option and selecting the .jpg file type in MS Paint should be good enough.
If you aren't going to manually edit the images, then you could also just check your "My Documents\My Games\Beyond the Sword\ScreenShots" directory, as you might also have screenshots there if you have been pressing the Print Screen key.