Bizarre. I don't get a warning, only the picture. I suffer from the opposite with some sites, especially webcomics, and get warnings about direct linking from the whole site even though the addresses aren't a direct link to an image. I've always assumed it's some sort of incompatibility with my browser. Sadly, I can't download illustrated books from Project Gutenberg at all because my connection is too slow to load that much data.

I've put the illustration on my image host so, fingers crossed, here it is: