If your IE is saving every image you try to download as .bmp, then it is your internet cache that you need to clear out in IE which will fix that. However, if it is a single image that wants to save as .bmp, then the nearest I can figure when I've had this happen is that the particular image was used as a backdrop or perhaps converted from .bmp originally (leaving some of the identity strings in the header), because I've had this happen on places where they offer wallpaper more than anywhere else. I don't think there is a fix for that, except to save it as .bmp and then convert it later with whatever conversion program you have.

ShadowWind

PS: On Win2K, you don't need to reboot either, but you do need to close the browser windows sometimes to get the first scenario to clear after clearing the IE cache.