The easiest way of doing this is to click on the picture with the left mouse button, hold the button down and drag the picture into the "status bar" the on at the bottom of internet explorer that has details in it when you hover over a link or similar.
If the status bar isn't visable it can be shown by going to view at the top of the window and the clicking on status bar.
This, however, will not work if the image links to a different location. It will only goto that location, nor will it work in mozilla firefox or netscape.
If this occurs and you want the picture from the link you would have to look at the source code of the website.
Before i go on I would like to point out that images on websites should be respected as the authors own work or similar, and to take without asking is no different from stealing, not just from the creator but also in the eyes of the law.
To look at the source code of the website you can either right click then view source, or click view at the top then click source. Once you are in the source code you will probably be blinded with HTML or a similar language. what you are looking for is an HTML tag that looks like this;
the SRC= bit tells you the location of the image, as this is the only bit you are concerned about i won't bother explaining the rest, but if you navigate to this location the image will display on the page in the same way as if you dragged it into the status bar.
Please remember when taking images from websites to respect the authors/creators wishes and always ask if you are unsure as to whether the images are protected by copyrite or if the author simply doesn't want you to use their images.