Ok lets take this step by step....
You have downloaded a picture from the internet and saved it into the "My
Pictures" folder - ok so far?
When you double click on the file/pic in the My Pictures folder a program
starts up and displays the picture - still ok?
Now a question: Do you:
a) want to change where pictures are saved? In which case... Find a picture
on the web. Right click on it and select "save as". Navigate to where you
want to save the picture and click save. It will remember that location (eg
next time you won't have to navigate) until you close the program.
or
b) want to change which program starts up when you double click on the
picture? In which case you need to know what file type the picture is. Hold
the pointer over the file in My Pictures and it will probably tell you that
it's type JPG, JPEG, BMP, TIF or similar. Then follow the instructions in
the help and support system under the heading "HOW TO: Change File
Associations in Windows XP"
Colin (not an MVP)