When you usually try to download an image, your browser opens a connection to the server and sends a GET request asking for the image. The server responds with the image and closes the connection.

Here however, the server sends the image, but doesn't close the connection! It keeps the connection open and sends bits of data periodically to make sure it stays open. So your browser thinks that the image is still being sent over, which is why the download seems to be going on infinitely.