Photos Save As BMPs not as JPEGS

I have recently been running into a problem where I download a photo from a website and it is automatically saved as a BMP and not as a JPEG. Someone said that it was a internet cache problem and to empty the cache(?) and when that was done, nothing. Same problem. Ok, techies, of the XP world unite. Any ideas how to get saved photos to remain as JPEGS and not BMP files? Thanks in advance for any advice you can provide.

 

http://www.helpwithwindows.com/WindowsXP/troub-12.html