Some pics can't be saved. Some will turn out to be another image (to stop you from getting the desired pic) or some will be saved as differ file types. So in that case, copy/paste into PAINT or ADOBE PHOTOSHOP and save it as a jpeg or whatever.
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If you have Firefox, you can right click > copy image, and then paste it into an image editor like Adobe Photoshop or Paint Shop Pro (even basic Microsoft Paint, which comes with Windows Start > Accessories > Paint, does the trick).
If that still doesn't work, you can push the "printscreen" button on the keyboard (on mine, it's next to "scroll lock" and "pause/break"), and then paste the entire image into an image editor. All you have to do then is crop to the image you want.