ainsrow,
A GEDCOM file will NOT contain images.
Guessing that you are using Family Tree Maker Version 2009.
I would suggest that you use this link:
http://ftm.custhelp.com/cgi-bin/ftm.cfg/php/enduser/ask_feed...And provide some detailed feedback to Family Tree Maker 2009.
You will probably not receive feedback from them, but the developers do read the feedback.
Good luck,
Russ