Well, sorry to say, but I don't think it's a T-Mobile conspiracy.
I just surfed to my personal website, so the image come up, clicked the trackwheel, chose "save image", and successfully saved it. I then went into my Photo Album on the 7100T and saw it listed there, then viewed that picture and saved it as my background.
Works fine for me.
Are you having trouble with a particular site? It may depend on how the images are hosted on that site, I dunno...