Alt+PrintScrn merely places the current window or dialog on the clipboard.
It doesn't have a format like .jpg or .bmp in this stage, since it doesn't
occupy any hard disk space yet.
You can paste the picture in Paint, and then decide in which format you want
to save it.
If you instead paste into a graphics editor (even MS Paint), you will be
able to save in the format of your choice. But note that JPEG is a bitmap
format; you can use the instructions in http://www.gmayor.com/extract_images_from_word.htm to extract the pasted
image as a GIF or JPEG.