I think I see what is happening. What web browser are you using? I use Safari often and I ctrl click and select open image in new window, then copy the url and if you clicked on the medium sized image it should end with .jpg.
I have used Camino and it has copy image location when you ctrl click, eliminating a step.
See if that helps?
They are giving you the red x because it is trying to load the entire page the image is hosted on and not just the image.