Firstly, if right-clicking is disabled in Internet Explorer it usually still works in Firefox. So changing to a better browser might help:
http://www.mozilla-europe.org/en/firefox/
Alternatively, the problem can be overcome (in any browser) by simply saving the whole web page. (Go to File > Save As. Use the 'Save as web page, complete' option and save to anywhere convenient, such as 'My documents', 'My Webs' or your desktop).
When you examine what you've saved you'll find a 'master' file (which contain the instructions for creating the web page) and a folder (which contains all of the files which make up that page). Look inside the folder and you'll find the image file.
Chris