Why I am unable to save certain web pages?

Unable to save images in proper format

This problem occurs if the Temporary Internet Files are full.

1. Start Internet Explorer
2. On the Tools menu, click Internet Options.
3. Click the General tab.
4. Under Temporary Internet files, click Delete Files.
5. When you are prompted to delete all temporary Internet files, click OK.

Delete the Internet Explorer Temporary Internet Files:
How To: Delete the Internet Explorer Temporary Internet Files

Internet Explorer Does Not Save Graphics Files in the Proper Format
Internet Explorer does not save graphics files in the proper format

Internet Explorer Saves Images As Bitmaps (.bmp Files)
Internet Explorer saves images as bitmaps (.bmp Files)

Why can't I save .jpg, gif or .png images in their original format in Microsoft Internet Explorer? Windows XP Newsgroups Frequently Asked Questions

Why IE will only let you save as BMP:
jeff's WebLog : why IE will only let you save as BMP

More on why IE will only let you save as bmp:
jeff's WebLog : more on why ie will only let you save as bmp