Why is a JPG file forced to be saved as BMP in IE?

When I right clicked on IE 6 to save a JPG file, Save Picture dialog box only shows BMP as the only output format.  It only reproes on some computers. After some digging, I found out that Internet cache is full on the dubious computer.  For more info, please check http://support.microsoft.com/default.aspx?scid=kb;EN-US;q260650