As title, when I try to save the screen shot. It always give me bmp format and the file size become extremely big.

Use a program such as photoshop. Save As and select gif from the drop down.

There are other free programs around that save from bmp to jpg but try download.com

To save a screen shot on windows press prinscreen key and then open a graphics software like photoshop, paintshop or fireworks. Paste the screenshot there and then save as .jpg.
On Linux use gimp or kscreenshot... :)

Have a great day :)

regards
amar