The reason you are only able to save as a Bitmap file (.bmp) actually has nothing to do with the image itself, rather your browser cache.
Your cache is currently full. You need to empty the cache. You can do this by going to Tools --> Internet Options. Then go to the Delete Files button in the Temporary Internet Files section of the options window that opens up. You don't have to delete all offline content when that comes up.
You can also set IE to delete all temporary internet files every time IE closes, and that will stop this happening in the future.
You should now be able to save the files as a .Gif file, then you can follow Sunny's instructions above to open them again.
HTH.