When you right click and select 'save as', does the 'Save As Type' menu offer you the choice of jpg?
If not, you may have one of these problems:
Internet Explorer Does Not Save Graphics Files in the Proper Format #260650
Internet Explorer Saves Images As Bitmaps (.bmp Files) #810978
Usually, the solution is to delete your temporary internet files (Tools, Options, General, Delete Files). Get back if it doesn't work!