Updated response as all old answers (from everyone) failed:
Try using Firefox to see if its an Internet Explorer setting.
http://www.mozilla-europe.org/en/firefox/
When installing firefox, use custom settings and DO NOT copy settings from Internet Explorer.
I am looking into the reason IE7 is dropping transparencies for you - but try Firefox for the meantime to confirm its an IE7 problem or not? Also, try testing the transparency of the same image as me and compare your results?
Firefox is a superior browser and much safer for your computer than IE anyway ;)
*testing for you*
Image used: http://www.infocellar.com/networks/graphics/images/globe1-transparent.gif
(IE7) RightClick image > Copy > Paste into Photoshop : White background
(Firefox) RightClick image > Copy > Paste into Photoshop : Black background
(IE7) RightClick image > Save picture as... > Open in Photoshop : Image keeps transparency
(Firefox) RightClick image > Save Image as... > Open in Photoshop : Image keeps transparency
(IE7) File > Save as... > Open in Photoshop : Image keeps transparency
(Firefox) File > Save Page as... > Open in Photoshop : Image keeps transparency
IE7 settings checked. Can not find anywhere to turn off transparency. Still searching... (Try Firefox for now, without IE settings being copied on install / first run)