This MS KB article suggests you need to update IE:
http://support.microsoft.com/Default.aspx?kbid=319032

Venkat Viswanathan wrote:

>David Gillett's original msg (clipped):---
>
><<< You can usually right-click and choose "Save Target
>As" to download the larger image without leaving the current page.>>>
>
>I am sorry I am not clear on this and shall appreciate some clarification.
>
>right clicking a url link in IE does bring up the "save target as" option but when you choose that option (left click) IE produces an error msg.
>
>for example I right clicked the pc soft link
>
> "http://freepctech.com/pcsoft.shtml" which is at the end of every post and on left clicking the "save target as"   got the error msg  "internet explorer can not down load pc soft.shtml'];from of ['htp
>
>internet explorer was not able to open this internet site.
>
>the requested site is either unavailable or can not be found "
>
>
>
>
>

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