Sorry,
Can you possibly explain.
When the display opens there are no options to save in any form.


All that right clicking provides are options for controlling the slide show.
Or am I missing the point.

We both missed something
You missed the point and I missed you have office 2007...
This will explain what I mean:

Chose other formats and then chose .html as a format.
You will find all images in the folder with files...

Thank you very much, got it sorted.