The red X shows up when the path that's in the HTML for the image points to a nonexistent file. There's nothing that you can do about it except email the person who made the webpage and tell them they've got a broken image on their site.
The I dont think you have a problem at all. But if you dont see it and just see a red cross again then you may wanna check into your browser settings, firewall settings, popup settings etc...
Emily is correct in saying that most times it is because the pic dont exist anymore (take note that my example pic will one day be gone) Though in the case of a slight dose of lag in an internet connection can also cause this problem.
It can sometimes be resolved by refreshing your browser as Traudong suggested.