Meet an error whenever save an image from a web page

Hello,
I am using Windows XP SP3. Whenever I tried to save an image from a web page, many a times I have to meet an error. After the download being completed I can’t open the image file any longer.
If I went to the properties of that file I see it’s an MS Dos program and there no option to change the file type to open with. Look at the following screenshot how the files are shown as a DOS program.
Thank you.
