Well you may just have to try to find downloadable versions of these pictures. Some of these pctures are protected meaning they are copyrighted or trademarked and not free. Maybe that is why you can't just save them. If you are trying to save or download pictures for wallpapers I did come across an app on
www.pocketpcfreeware.mobi that will supposedly allow you to click on photos and somehow make those photos become your wallpaper. Sorry but I can't remember the name though. There are lots of themes available as well and you may be able to find something that you like. Good Luck!