Internet Explorer Does Not Save Graphics Files in the Proper Format
Microsoft explains this in the Knowledge Base Article #260650
When you use the Save Picture As command for a graphics file in Internet Explorer, you may be able to save the file only as a BMP file, even if the file is in another format (such as GIF or JPEG). The file name may also appear as "Untitled."
There are several reasons why this issue may occur.
250747 Right-Clicking, Selecting 'Save Picture As' Does Not Save Image with Correct Extension
You can use any one of three methods to work around this issue.
To resolve, delete the temporary internet files by selecting Tools,
Options, General tab and select the Delete Files button.
NOTE: To locate the Temporary Internet Files folder, click
Options on the Tools menu, click the General tab, and then click Settings. The
current location is indicated in the Settings dialog box.
To workaround, uncheck "Do not save encrypted pages to disk" from Tools,
Options, Advanced Tab. Then select View, Refresh to reload the page.
You can also save the file in .bmp format, and then use a graphics editor to convert the file to the desired file format.