It is definitely app related, as far as my experience is concerned.
IE, almost 99% of the time, will not show up on the desktop until I CLICK on the desktop. OmniWeb downloads are fine, for me. IE, although better in general than the original version that came with OS 10.0, is spotty with a lot of stuff like this. Dragging images from an IE window to desktop sometimes works for me, sometimes it doesn't. Click + HOLD doesn't work, you have to Ctrl + CLICK...
I am trying to use just OW 4.1 sp10, right now, for all my browsing, but everyonce and a while, I have to use IE for something...