As for as i knew All windows versions support Jpeg, differenence in windows versions is that in Win 7 Starter u cant set Any image as Desktop Background, in other win 7 versions it allow u to do so !
its quite ironic for me, why it doesnt allow u to save picture in JPEG, Ok So did You click on the Picture After it fully completed or Did u click on that During Loading ?? coz if u click on tha picture whilst it loading u may throw upon a Unresponsive Behaviour from Windows 7,
Number 2: From Which Browser you are tryin to save picture ? Firefox Or Chrome ? I advice you to Get some screen grab extension for ur Browsers from that capture a whole web page as a Image and Crop Save the Picture as u needed
For Chrome Browser : Awesome ScreenShot
FireFox : screengrab
Thanks,
Suren