I've not done this before but trying it just now it works fine if iPhoto is already running.
If iPhoto is not running, then I get the same as you did. I think the problem is, is that Safari has tried to find iPhoto and not found it before it has finished opening, so gives up and shows the error message.
If it still doesn't work, then Right/ctrl click and use the Save As Image... option, then import to iPhoto afterwards.