The problem is what device do you want to convert to CMYK.
Because it isn't just a simple process to convert from RGB to CMYK, you need to decide the gamut size and black channel generation process which complements the device type (offset, digital, etc) for CMYK.
Otherwise, the RGB channels would only map to CMY without any pure black. So blue would become purple, etc.
Photoshop is the best choice.
Adobe Acrobat Distiller can do it with some set up.
There seem to be a few "freebies" but they don't seem to take into account what CYMK gamut or black channel generation into consideration.
Also, GIMP is a GPL tool and is freely available. It doesn't have native CMYK support but a plugin,
http://cue.yellowmagic.info/softwares/separate.html does have limited support.
Good luck.