Just throwing out a few possibilities:
You may be loading a page that contains FRAMES, and the image may have a URL relative to a different frame than you expect.
- The URL you have may result in a REDIRECT that displays the final image (Update)
- The image may be over 4 Gb - IIS throws 501 errors in that case.
You may need to capture packets and/or view the page source to get more information about this problem. It would also help if you posted the image URL.
..."I don't know what the facts are but somebody's certainly going to sit down with him and find out what he knows that they may not know, and make sure he knows what they know that he may not know, and that's a good thing. I think it's a very constructive exchange," --Donald Rumsfeld