with the camera active, check under Options > Store Pictures is it set to On Media Card? if so, do you get any message when you try to store the picture?
I dont know i have not tried to save a pic from the web. I did however last nite copy 43 pics from another smartphone to my sd card by inserting my SD card into the other phone. It worked fine i have all of the pics and i am able to view the on my BB. but when it comes to saving my own pictures to my SD card it appears to be saving it even reads Saving in the little supressed black box in the camera screen. However when i go to view its no where to be found.