Take a look at this article. Type the Q number in the search box of technet.microsoft.com. The first and second workarounds appear to be a more likely solution.
Internet Explorer Does Not Save Graphics Files in the Proper Format
Q260650
WORKAROUND
You can use any one of three methods to work around this issue.
Workaround for Cause 1
To resolve, delete the temporary internet files by selecting Tools, Options, General tab and select the Delete Files button.
Workaround for Cause 2
To workaround, uncheck "Do not save encrypted pages to disk" from Tools, Options, Advanced Tab. Then select View, Refresh to reload the page.
Workaround for Cause 3
Method 1
1. Open the Temporary Internet Files directory and locate the image that you attempted to save.
2. Right click the image and click Open .
3. When the image loads into Internet Explorer, right click the image and click Save Picture As . The correct file type and name should be correct.
Method 2
1. Type in the direct path to the image that you wish to save.
2. When the image loads into Internet Explorer, right click the image and select Save Picture As . The correct file type and name should be correct.
Method 3
You can also save the filein BMP format, and then covert the file to the desired file format using a graphics editor.