I found a couple links, but I cannot post them because I don't have enough posts in the forum, so hoefully you can decipher them from the following:

A quick google found this:
msdn [dot] microsoft [dot] com/en-us/library/aa438329%28office.12%29.aspx

And this:
msdn [dot] microsoft [dot] com/en-us/library/aa438993%28v=office.12%29.aspx

So in theory, adding a ,3 after PgFilename should work like this:

'Save the page
        ActiveDocument.Pages(PgCnt).SaveAsPicture (PgFilename, 3)
I have not tested this though, so give it a try and post back whether it works or not.