what brand camera

most likely your camera is set to save as raw data, so if your camera is 5MP pixel, your picture will be around that size each. Different company has different raw standard, Canon: .RAW, Nikon: .NEF, etc. Two ways you can do it:
1. Use software from the company, Canon: zoombrowser, Nikon: Nikon capture (not free). Or you can use ACDSee 7.0 or any other raw image processing program to convert to jpg.
2. Set your camera to save as jpg, check your menu to do that.