Probably you do something wrong, but since you don't tell what you do in what program, it's difficult to say.
What I do in Internet Explorer in Windows 7 is to right click on the picture and choose "Save picture as ..." from the context menu.
Kees
when saving pictures as it only gives me the option webpage complete and webpage html only, it gives me no other options like jpeg, help

Chowhound
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GameFAQs
GameSpot
Giant Bomb
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