There are a few issues and inconsistencies here.
First, we have no code to see how you're doing a download, so all we can do is guess and assume. If you want a better answer, show us some code.
Second you say it's "showing as a File instead of a bitmap file". What is a "File"? Bitmaps are files too. The shell gives an icon purely based on the extension, so if the icon isn't shoing that it's an image-type file, then you probably aren't saving it with the right extension. WinMo doesn't show extensions in its file browser, so you need to verify the actual filename with something else.
Third, you say the file "doesn't work with PDA". What does that mean? You can't open it with your application? Some otehr application? You need to define what "work" is, and the behavior that makes you say "doesn't work".