What browser are you using? With Firefox it just displays nothing if it can't load the image. Internet Explorer used to (don't know if it still does) shows the broken red x image.
I didn't mean when you actually visit the URL, I meant when a linked image (i.e. a URL linked to with the [IMG] tags) doesn't load (for whatever reason...incorrect link, server down, invalid permissions etc) Firefox will just display nothing. That is, you can't actually see that there's an image there that hasn't loaded. However, with Internet Explorer it will display the following for an image that doesn't load: