In reply to Nicola:
Yep, Digital Photo Professional is the one you need. If you've got lots of photos to convert there's a batch process tool in there to speed things along.
CR2 is Canon's RAW format. You can re-process RAW images in Digital Photo Professional to adjust exposure, contrast, sharpening, colours etc. It's the format of choice for me. Have a play around and see how it works.
You can change the camera's format to JPEG in the main menu. It's one of the first options.
If you use one of the 'Auto' modes, I think the camera always uses JPEG.