Bandwidth is limited. Why? Because it actually is a bunch of wires or fibers connecting servers to the global network. And wires can only carry so much data. When someone attempts to get more data than can be handled by the wire, the transmission of the data is slowed down.

Some ISPs limit the amount of data that a site can use during a particular time period. As an example, an ISP might limit you to 1gb of data per month for your flat fee, then charge you an extra $10 for each additional gigabyte. Some of the more obnoxious ISPs actually just block transmissions when the bandwidth is exceeded (effectively putting that site out of business for a time).

It's common practice to load most of the images, sound files, videos and documents in your web on your own site. This excludes, of course, advertising banners which are rotated and some specific documents and images which are supposed to be loaded from a central location.

It's common among amateurs and beginners to link to images and other files directly to some other server instead of putting them on their local server. Sometimes they just don't know better, sometimes they are just lazy, and sometimes they've just run out of space at their free host.

So not only do they "steal" the image (it is probably copyrighted and they are copying it without permission each time the web site is loaded) they "steal" the bandwidth!!

This is extraordinarily bad form, it's tasteless and it should be avoided like the plague. 

In some extreme cases, unscrupulous "webmasters" (I use the term loosely) link to large zip files on other servers to give their own visitors extra features. This often occurs with sites containing downloadable software, wallpaper and desktop themes.

DO NOT do this without permission! If you do, you are a thief and you are costing someone else money and aggravation.

What do you do if someone links to your images or files without your permission and he will not stop? Replace the file with something else. A picture or document stating that this person is stealing bandwidth should suffice. If you can get the email address or phone number of the person, you might include it for additional impact.