Featured Images and Particular Images

Hello,
I am creating a site and having trouble using certain images for the featured image. I am using WordPress 3.4.1 and the theme is the Twenty Eleven. I can use images that for featured images I have taken with my camera and uploaded, but there is an image on the internet that I downloaded and saved that it won’t seem to let me use as a featured image. I can insert the downloaded image from the internet on the front page (which I did), but as a featured image that is a no. I also tried to take a screen shot of it and use it as a featured image and that also did not work. I have tried other images from the internet that are downloaded and those seem not to work either. Is there some sort of ban on what can and can not be used as featured images?
Thank you,
Adaam