Ah, is that why that keeps happening. Right, lets try again:
These ones work if you right click/View Image, because the URL served up is a page containing the image.
Hm, mkay. Someone though has to explain how this "cached" thing works.
Your browser will save (in memory or to disk) files that you have recently accessed, so next time that same URL is referred to, it serves up the local copy rather than having to go out to the network and fetch it again -- even if the fetch would fail (for not having the right referrer URL, for example).