Well that's the whole point..
If you visit a link, you have no idea what that link is going to contain... You may follow an innocent looking link, and see childporn. Even if you immediately close the page, your browser has likely inserted the images into its local on-disk cache.
Similarly if you receive an email containing such content, it will typically be downloaded automatically to your machine, even if you immediately delete it upon noticing it there will still be traces on your drive for some time to come.
It's also possible for a website to load images but not make them visible, such images will still be cached by your browser but if they're not displayed your unlikely to realise they're there unless you explicitly check.