If you copy the URL, UR should be able to capture images when storing a web page (if you copy the page selection, the browser may include text but not HTML format on the clipboard for pasting).
Only the text of PDF files is displayed in UR by default. To use a PDF viewer (Acrobat, Foxit, etc.) to display a formatted PDF in UR, see here (you would also need to import the PDF file URL rather than copy/paste content from the PDF file itself):
http://www.kinook.com/UltraRecall/Ma...naloleedit.htm
http://www.kinook.com/Forum/showthre...?threadid=2430
http://www.kinook.com/Forum/showthre...?threadid=3285