It can happen if your Temporary Internet cache is full or the image is linked without its extension. Here are several work-arounds to solve the Internet Explorer saves images as bitmaps (.bmp Files) problem:
1. Use a different browser like Firefox or Opera.
2. Save the entire webpage, then copy the picture from the folder where the HTML file was saved.
3. Right click the image and choose properties, copy the URL of the image and download it with a download manager.
4. Locate the image in the IE cache: Open the Temporary Internet Files directory, and locate the image that you attempted to save. Copy the file by right-clicking or pressing Ctrl+C and paste the image in the desired location. OR Right-click the image, and click Open. When the image loads into IE, right-click the image, and click Save Picture As. The file type and name should be correct.
5. Empty the contents of the Temporary Internet Files folder by selecting Tools, Internet Options, General tab, then clicking Delete Files. If the issue still occurs, move the Temporary Internet Files folder to a new location.