When you save images in graphics programs, or when you look at images on the Web, you'll see they have different file extensions. Basically, this means in text form they'll look like your-image.gif. The .gif part is called the file extension.
Sometimes, it's difficult to know what to save your images as, so I'll run through a list:
.gif - This is useful for saving cartoon-y images and images with text. It's not very good for saving photos.
.bmp - Only use this if you want to print your image because they generally take a long time to load on the Internet and aren't very good quality. They also don't support transparency.
.jpg/.jpeg - Use these to save photos/photo-like images with lots of detail.
.png - These can be used with many different types of images and make things look really clear and crisp. However, they take a long time to load, and some browsers don't support them.