If you're scared or unsure about using command line tools like GDAL_Translate then there are other ways to do this.
If you have Esri products then you can use Raster to Other Format or Copy Raster, you can even export the image from ArcMap just by right clicking on the layer and select export then fill in the blanks and select GeoTiff.
If you want to use GDAL to do this then I recommend downloading and installing QGIS. This will give you a menu to export, which is just building the command line for GDAL_Translate. Go to the raster menu, select translate and a menu will come up:
Notice at the bottom is the GDAL_Translate command. This is from version 1.8, the new one might look a little different. There is also an option for batch mode which will convert a folder full of rasters!