http://www.microsoft.com/WindowsXP/expertzone/newsgroups/faq/default.asp
Q. Why can't I save .jpg, .gif or .png images in their original format in
Microsoft Internet Explorer?
A. Sometimes, if you right-click an image in Internet Explorer and choose
Save Picture As, the list of available types in the Save As dialog box will
not contain .jpg, .gif, or .png. It will either contain both .bmp and .art,
or only .bmp. Here are two procedures that may fix this problem.
To empty your Temporary Internet Files cache
In Internet Explorer, click Tools, and then click Internet Options.
On the General tab, click Delete Files.
To turn off graphic compression in the AOL client
Go to Preferences in AOL.
Click Internet properties (or WWW in some versions).
Click Web Graphics.
Clear Never compress graphics (or Use compressed graphics in some versions).
