Opening HTML file - saving as XLF with PNG file

[srm]

I have a HTML file that I open and see the PNG graphic in Excel 2003.
If I save it as an Excel file I can open it and see the graphic. Once
I delete the PNG file and then open the Excel file, I cannot see the
PNG file. It seems Excel isn't saving the PNG file in the Excel file.
Is this by design or some setting?

If I open the HTML file with the PNG file still being available, delete
the graphic from the Excel file, then import the PNG file and then save
it as an XLS file, I can still see the graphic even if I delete the PNG
file.

Any ideas why its not saving the PNG in the file after opening it from
HTML to Excel and then saving it as an XLS file. I do have the Web
Option checked to allow PNG files for graphics.

Thanks

Shawn