get url of the Image, use FindFirstUrlCacheEntry/FindNextUrlCacheEntry to enumerate cache entries, compare INTERNET_CACHE_ENTRY_INFO.lpszSourceUrlName with the url of target image
do you intend to implement save whole page feature? http://codeguru.earthweb.com/ieprogram/SaveWholePage.html
http://codeguru.earthweb.com/ieprogram/SaveWholePage.html