How to change an NEF file to a JPEG?

I'm using my Nikon D40 and took a ton of pictures RAW picture quality- and now that I've uploaded them to my computer none of the pictures will show up. What can I do?

Added (1). Thank you so much! I'm taking a photography class, that's why my camera was set to RAW images. I just couldn't figure it out from there, thank you!

If you do not have Adobe Lightroom 3 or Photoshop with the RAW processing plug-in installed, you will need to download the free Adobe DNG converter. After you have edited (sorted) your JPEG image files, selecting the best from the rest, you can convert your RAW files to DNG files and then use any photo program to process them and save them as uncompressed TIFF files or high quality JPEG's

These are some of the many things you learn if you take a class in photography.

Use the software that came with the camera…

You can use Nikon View or Adobe Camera Raw to open and edit your NEF file. When you save it, you select the JPEG option.