I have slowly developed a problem on all of my computers that when trying to do the right mouse button save of an image file, with Internet Explorer, it would only allow you to save a BMP, even if the image file was a GIF or JPG. I finally took the time yesterday to find the solution for it and its pretty easy to fix... if you have this problem.

1. Go into > Tools > Internet Options > General.
2. Select "Delete Files" under Temporary Internet Files and follow the dialogs to delete files.
3. Then go to Settings under Temporary Internet Files.
4. Select View Objects.
5. Delete all the objects that have status of Missing, Unknown, etc.... basically everything that isn't Installed.
6. Shutdown Internet Explorer (all windows), then restart it and try to save an image file with the right mouse button. If it continues to have the problem, try going back to step 5 and delete all the objects that are there (you will end up needing to reinstall things like the Flash plug-in which is automatic).

This did the trick for me... hope it works for you too.