I don't use IE but was trying to duplicate your problem with it and it doesn't matter what type image I try to copy, by right clicking the image and then "save image as" it always copies the image just as it appears on the web.
Animated images the same "right click" , "save image as " and it saves it as a animated GIF.
Now question is do you have a "internet accelerator" ? If so and it is enabled this will most likely be your problem. I use one and have it set so that image quaility isn't good so pages load faster, doing so also makes animations such as the ones here in these forums not animate, all can be changed with a click of a button
I have noticed that even if the image is animating on screen, saving the image with the accelerator on will not save the image as a animation, and in a few cases not save the image at all.