Display Pictures are always downloaded to your contacts computer (when chatting or whilst viewing the contact card)..no matter if he/she saves it through contact information or not. What this Plus! feature does basicly is grab it from the temp folder like every other CE/DP "stealer" outthere.
More info:
Cookie's reply to display pictures.
In other words...there is no specific interaction between your computer and your contacts when this link is clicked in Plus!Live. To be able to know you'd have to be on your contacts computer..
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