Saving something to your computer for your eyes only is not a copyright infringement.

An infringement would be if that person then took that saved image and claimed it as their own or used it in some manner in a public arena such as reposting it on their website.

The act of simply saving the image is not a copyright infringement.

If it were then Microsoft would be sued left right and centre because they allow cached images to be saved onto your hard drive, something that you  have no control over other than to go and delete them afterwards.

Copyright violation involves the unauthorized alteration, reproduction, or distribution of images.

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi