That ctrl+click way certainly works. However, if you want to convert lots of images try imagemagick.
mogrify -format png *.tga
(converts all *.tga files to png)
Note that the final file size may be equal or even bigger if you use png instead of tga. That's because png uses deflate (like zip), which is inferior to lzma (the compression scheme nsis/7z uses).
Does that convert the alpha, too?
And the reason I'm using png is just because of a lack of broadband. Just needed to have smaller image sizes without actually turning them into archieves (thus putting an extra step into any SVN updates you get) - we'll end up using a different compression method entirely, i'm sure, but this is the easiest short term solution for us right now.
Thanks for the tip!