Steve,
Any file that you put on your website must, by the very nature of how the
web works, be downloaded to your visitor's hard drive. That's what IE's
Temporary Internet Files (cache) directory is for. The browser downloads
the files to the cache and then displays it.
There are ways you can make it more difficult to save your files, however
these tricks are usually just nuisances and don't stop anyone from actually
getting the files. Kind of like locking your house with a twist of wire.
Sure, it'll keep the door shut but it won't keep anyone out.
If you need to ensure that your images are marked with your copyright, take
a look at the Digimarc's watermarking solutions:
http://www.digimarc.com/solutions/default.asp
It won't keep people from saving your files, but if they try to reuse them
on other sites or in other ways, you can at least enforce your copyright.