To expand on @Ben Harris answer Windows has a convert program that from memory renames files which will be selected by default. If you allowed Imagemagick to add itself to the environmental variables on install it should have worked.
You can either change convert to the path of Imagemagick convert.exe or rename convert.exe to something else (such as IMconvert.exe) to stop the confusion. Then use IMconvert.exe in place of convert.
As @user2314737 says the version 7 of Imagemagick uses magick rather than convert to prevent that problem. (try magick.exe)