Simple actually, an Action functions has macro, to record one simply open the actions menu (if you don't have it on the workspace already go to WINDOW tab and choose it). Now click create new action on the actions panel, than press record, you are now recording what you do, simply save an image as jpg/png (any image it's just to create the action) choose the folder destination after it's done saving close the image and stop the recording. Now open the pfd directly into PS and open as an image not pages, select say 150-200 images out of the total, depending on how much RAM your system has and how much you allow Photoshop to use, (depends on file size among other things) so it doesn't hang on you. PS will load all the images and now you only need to convert them in batch. So click on the FILE tab, select automate > batch, now you'll get a new menu for the batch fuction, simply choose the Action you just made, source should be OPENED Files (the images files you have open) destination is not necessary since the action already covered that and press OK. It will start doing executing the action you created just now on all open images. You can use this function to do any repeating task, you can make some filters with actions, pre-levels, gamma corrections etc... if you choose folder instead of opened files you can select some photos you have laying around and apply a quick filter over all of them or simply convert some PNG to JPG to save some storage etc... Honestly PS can be as easy or as in-depth has you want it to be.
A simple action to save files has JPG into a specific folder and close the file when done.