We tried on all browsers on our machines, and all images were okay except for IE6 on Windows 2000 on my VirtualPC. But IE6 on other machines was working, so we started thinking it was a proxy issue.
After digging the issue further with the customer, we discovered that not only images were not loading, but also that all sites visited after this one had problems downloading images until the browser was restarted.
I was scratching my head until Matt came out with this link (again, thanks Matt!).
It looks like PhotoShop 7 embeds some xml code in jpeg images when saving them using the default "Save as" menu and not the "Save for web" feature, and that this xml code breaks some builds of IE6 for Windows.
I find this totally amazing...
PS: digging a little further, this is what PhotoShop embeds in a jpeg image:
<x:xapmeta xmlns:x='adobe:ns:meta/' x:xaptk='XMP toolkit 2.8.2-33, framework 1.5'>
<rdf:rdf xmlns:rdf='http://www.w3.org/1999/02/22-rdf-syntax-ns#' xmlns:ix='http://ns.adobe.com/iX/1.0/'>
<rdf:description about='uuid:ab479c6e-7cc8-11d7-8aa8-bd96e5698808' xmlns:xapmm='http://ns.adobe.com/xap/1.0/mm/'>
<xapmm:documentid>
adobe:docid:photoshop:ab479c6c-7cc8-11d7-8aa8-bd96e5698808
</xapmm:documentid>
</rdf:description>
</rdf:rdf>
</x:xapmeta>