You can also set Firefox to not allow websites to use Javascript to keep you from right-clicking an image, which is there to try to stop you from saving it. I always do this if for no other reason that I use mouse gestures that mean that I right-click and drag to go "back" rather than clicking on the back button, and I hate those annoying copyright nags. A couple sites have them come up even if you disable it, but it works for most.
Some will also hide the pictures as a background, which you can't right-click and download. With these or the "protected" photos, you can go to Tools, Page Info, and the Media tab, and save any jpg used on the page, no matter how it's protected.
Now, whether or not you should load up a picture frame with photos from other's site - that's a whole different topic and one which I certainly have no interest in discussing. But on a technical level, it's virtually impossible for a web site to keep you from getting a jpg. (Those that do use things like Flash animations, so you're stuck doing a screen capture if you really want them.)