Internet Explorer can save images only in .BMP?

This can be caused by various conditions:
1) A full or "corrupted" Temporary Internet cache

2) You have the setting Do not save encrypted pages to disk selected in Tools > Options, Advanced tab and are loading the page on which the graphics are via a secure connection (https).

3) If you are using AOL, and have AOL's graphic compression option is turned on. In that case, graphics are saved as .art file type.

Depending on the specific cause for your issue, use one of the following methods to fix the issue:

• Delete your browsers Temporary Internet files. You can do that by selecting Tools > Options, select the General tab, and then click the Delete Files button.
  
• Change the setting Do not save encrypted pages to disk by clearing the check box. This setting can be found by going to Tools > Options, Advanced tab on Internet Explorer's menu.
  
• Switch off AOL's graphic compression. Select My AOL > Settings > Preferences, in the Preferences dialog box, select Internet Options (WWW), and in the dialog box that openes, click to clear the Always Compress Graphics check box. Click to select Never Compress Graphics, then click Apply, and OK.
  

If that doesn't help, check your registry:

• Start the Registry Editor (Click on Start > Run, type Regedit and press OK)
• 
  Go to HKEY_CLASSES_ROOT\.gif
  The Content Type (listed in the right pane) should heve the value image/gif
• 
  Go to HKEY_CLASSES_ROOT\.jpeg
  The Content Type (listed in the right pane) should heve the value image/jpeg
• 
  Go to HKEY_CLASSES_ROOT\.jpg
  The Content Type (listed in the right pane) should heve the value image/jpeg

Those simple actions can fix your issue.