http://www.mydomain.com/mypage.aspx <- One request
http://www.mydomain.com/mybigimage.gif <- A different request
Output caching will cache the output of the ASPX, but I don't think will have any affect on the images. The browser is responsible for caching html and images. If the browser caches properly, you should see a difference between the first hit and subsequent hits. However, if the page you are trying to cache generates quickly you probably won't see much of a difference as the caching only affects the generated output (HTML).
When thinking about user control/page control caching in .net, you need to consider the time it takes to construct the control. If you had a really complicated set of queries that ran to create a dynamic control, but that data didn't change much, then you could use caching to speed up server reponse for that control. If your images are being requested from the server, then you are having caching issues from the browser end.
Peter
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Work smarter, not harder.