I encountered the following with SVN revision 44615 and Blender 2.62 on Xubuntu 11.10:
1) Open Blender.
2) Go to UV/Image Editor.
3) Click "New", then "OK" to create a new blank image.
4) Click "Image" -> "Edit externally".
At this point, GIMP opens, but says it can't open the file. ("Opening '/home/michi/blender-2.62-linux-glibc27-i686/.' failed: Is a directory")
I'd expect a dialogue which prompts me to save the file before opening it externally.