I haven't had the problem either. Are you sure the images that you are trying to save aren't Bitmaps??
If it's still a problem, try downloading it again. I haven't had the problem either, and I've got it downloaded on like 25 computers in my lab. I haven't had the problem on any of them, of course, I haven't tried, I guess I could give them a shot. ...
Long story short, maybe just a glitch, that can be fixed.
There's a checkbox in Internet Options -> Advanced that will clear your temporary internet file cache each time IE exits. Might make for slower loading sites in the beginning, but its a small fix for the untitled.bmp problem.