Blast nailed it. Chances are they've had a problem with this in the past if they went to the trouble to set up the system that detects hotlinking. If you don't want to give them your business over this, that's fine. But I bet if someone used your server to show a picture for their ebay auction to 10,000 viewers, you might feel a bit more sympathy...

Just the link to the item on their site is best; you still get to see it if you want, and they get hits/ad revenue for their site.