Is this via an email such as on Hotmail or Google? I'm guessing it's a song or video if it's trying to open in Windows Media Centre.
If so, right click, then Save Link As or Save Target as.
At first youy need to copy the embedded image and Then.....
paste into an image editor like Paint or Photoshop. All Windows users have Paint on their machine (under Programs | Accessories). Open up the image editor to a blank image then paste.
And then you can save in your coshed Drive on my PC.