Earlier versions of the MacOS did this automatically whenever you downloaded a graphic or piece of text off a web site; I don't know why this functionality was removed from OS X, but I do know it's the single most annoying "feature" of the current OS, IMHO.
Someone must have thrown together some hack to reinstate the functionality, but I've never happened to come across such a thing. If anyone knows where one can be found, I'd sure appreciate a pointer.