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The bottom line is that, for some reason, the original jpg or gif files are not being saved in your temporary internet files folder. The browser simply retries them from the website and renders them onto the screen. So the original jpg/gif data is lost and the only thing left is the bitmap format used by the display.
If the image is being served dynamically, like many web stats providers that create "on the fly" charts and graphs, or if the image comes from a database, often times the content/type will be GIF or JPEG but when you try to save it the browser will want to save it as a bitmap. When that's the case, there isn't anything you can do about it.