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Maybe these articles will shed some light:

(326675) "No Preview Available" and "File
Format Is Not Supported" Error Messages
Occur When You Try to View Graphic Files
http://support.microsoft.com/?kbid=326675

(810978) Internet Explorer Saves Images As
Bitmaps (.bmp Files
http://support.microsoft.com/?kbid=810978

(260650) Internet Explorer Does Not Save
Graphics Files in the Proper Format
http://support.microsoft.com/?kbid=260650

(324761) Cannot Save Images in Windows
XP As JPG
http://support.microsoft.com/?kbid=324761

Go to the following site and scroll
down to the bottom of the page.
"Music, Video, and Photos"
http://tinyurl.com/7g4k

Converting .Art Images Using AOL
http://members.aol.com/oldnelly77/page9.htm

ATTENTION AOL USERS
http://www.xmission.com/~emailbox/aol.htm

AOL / .ART
http://tinyurl.com/70ka

In your email you do not mention what email client you
are using, nor do you mention the method in which you are
trying to save the pictures.  Therefore I will guess that
it is Outlook Express.

To save pictures that are sent to you as an attachment (a
file attached to the email) and not embedded (pictures
that are already in the description without an
attachment). Open the email then go to File in upper left
corner click on save attachments. A box will appear and
it will say at the bottom where it is going to be saved
to.  Most likely it will be in your hard drive under My
Pictures.  If you have a specific folder that you want
them to go to then click on Browse and go to the file
that you want to save the pictures to. Then click on
Save.

After you have saved it in My Pictures (or the file you
chose) then you can go there by clicking on My Documents
then click on My pictures and find the ones you just
saved.  If you want to know more about creating folders
and saving pictures then click on the reply to My
pictures by Youngfellow1.

Hope this helps if not then please give a better
description as to what you are using and what you are
doing to save the pictures.
phantm