Everything on the internet is covered by copyright just the same as would apply if it were published in a book. Just because you found an image, text, or a program that you want to use on your own web site without a copyright notice doesn't mean that copyright doesn't apply. Everything on the internet is owned by someone and that person is the one who gets to determine where and how that material is used.
So what do you do if you find something on the internet that you want to use on your own site? Well some sites contain material that you are permitted to use provided that you comply with the conditions stated on the site for its use. This will normally mean that any copyright notice must be kept intact and limits may be placed on what changes you are allowed to make. You may also be asked to link back to the site that provided the material. Even where you are not asked to provide such a link placing one on your site anyway is a nice gesture.
If there is no notice on the site giving you permission to copy the material then you can't get around the copyright by linking the original into your page instead. This is even worse than simply stealing the material since you are not only using material that is not yours but you are stealing bandwidth from the originating site as well.
Where there is not explicit permission given on the site to copy the material on that site and you wish to use it then you should contact the owner and ask for permission in writing to copy the desired material. Permission may be forthcoming but if it is not then you will simply have to look elsewhere for something similar or better yet create it yourself.
Note that this page contains general information about web page copyright. If you are in any doubt about having permission to copy something then contact the site owner or seek legal advice.