Just downloaded a site with one page that had 3 missing images, e.g.:

<img border="0" src="images/sample2.jpg" width="211" height="228">

In all three cases, the "src" was renamed to .html, like so:

<img border="0" src="images/sample2.html" width="211" height="228">

This happened with two missing .bmp files and one missing .jpg file.