I have, and have had for years, this same issue, mine only happens when i use http://username:password@whatever.com/
Any image that I tell IE to save on that page will pop up as untitled.bmp. I agree with you as well, I've tried all the "delete internet files", "remove activeX objects" etc. And as I said, I've been dealing with this for years, all the way back to Win98, personally, I've never seen a machine that does work correctly in that instance. I know over the past 6-7 years I've loaded OS's tons of times, loaded IE tons of times, and it always turns out the same way. I've tried it immediatly after a reload, different service packs, different updates, etc, I can't seem to get anywhere on this. Every couple months I search around for an answer again and never find anything that helps.