It's the same line of logic as when you see people post on a forum something like [img]c:\Users\Bob\Documents\My_Image.bmp[/img] and then wonder why it doesn't work.

"But I can see it on my computer!"

Over the internet, the origin of all data is on someone else's computer. All means all. And all of it needs to come down the wire to you at some point.

You're on the right track in one regard, though, in a roundabout way with caching: Browsers will keep local copies of media or even the entire content of webpages on disk for some period of time, and refer to those files when the page is visited again without redownloading the data. This is especially useful for images that appear in multiple places on a website, like header and logo graphics, etc.

This can actually become a problem if an image is updated on the server's side, but your browser is not smart enough to figure this out. It will blithely show the old image it has in its cache, which is now outdated. (If you force refresh a webpage by holding shift when you refresh or press F5 in all of the current modern browsers, you'll get a reload while explicitly ignoring any files already in the cache and all the images and content will be fully redownloaded, and that's how you get around this if it happens to you.)