Yes, they are like any other web page. You just have to interpret the body differently, based on the MIME type returned in the header.
So assuming I knew what to expect (the image is a GIF, two versions, one is static, one is multiple images in a loop), and I can obtain the link for it's location, how would I download the image, and save it as a file?
How is it different from your previous question?
I suppose I was trying to somehow broaden it. Is there a tool that can access the header? I mean, how do you know a location exists inside the header if it's not possible to see it before?