There is no way to change the default save format Paint uses, it's hard-coded to use the higher-quality PNG format so that it doesn't cause corruption (JPEG setting causes pictures to get blurry artifacts and pixelization).
PS. I think you know this, but for the benefit of future visitors I want to clarify that prior to Windows 8, there was no way to automatically save a screenshot as a file when you pressed a key combination. It simply copied it to the clipboard, ready to paste somewhere else, and has no "file type" set. If you go to a plain Windows XP computer and press Alt+PrintScreen, no JPEG file will be created at all (you have to go paste it somewhere, then save it). If you were seeing a JPEG get automatically created when you pressed those keys, you must have had some extra program to do it.
PPS. I tested it out in a virtual machine, and moving the mspaint.exe from an XP computer to Windows 7 runs, it appears to default to a save of "24-bit Bitmap" option. Technically this is against the licensing terms of use to transfer part of Windows.