According to this widely circulated message, attached images show Bighorn Sheep "strolling" across a very steep dam wall. Some versions, including the one shown above, do not identify the dam in the images. Others identify the dam as the Buffalo Bill Dam on the Shoshoni River at Cody, Wyoming or, more vaguely, as "a dam in Montana".
The images are genuine. However, the animals in the photographs are in fact Alpine Ibex (Capra Ibex), not Bighorn sheep. Moreover, the dam is in fact the Cingino Dam in the Italian Alps. the same photographs can be seen on many websites, including gulliver.it, and Eolake Stobblehouse's blog. Another view of the Ibex on Cingino Dam can be seen in a blog post on aroundglobe.net.
An article about Alpine Ibex on The Large Herbivore Network website notes:
Alpine ibex typically inhabit open, rocky habitats at high altitude, above the tree line at an altitude of 1,600-3,200 m. Steep, south-facing slops with rugged topography and grassy vegetation are preferred. Below the tree line, at subalpine levels, ibex are only found in open, sunny woodland interspersed with rocky outcrops. Living in montane pastures Ibex feed on alpine grasses, herbaceous plants and shrubs. This species is diurnal, but most active during the early morning and late afternoon. They migrate seasonally to different altitudes, spending the harsher winter months at medium elevations.
These agile animals apparently scale dam walls in order to lick salt off the rock. The following YouTube video shows the animals in action at Cingino Dam: