When it's a chinche roja, a Gendarme Bug, a Gemeine Feuerwanze, a Pyrrhocoris apterus, a Fire Bug.
Oh, and a Milkweed Bug isn't a beetle either, because like the Firebug, it's a Hemiptera/Heteroptera, or True Bug, ok?!
While hemi - ptera actually means half - wings, the important characteristic of this group is in the formation of the mouth. (If you'd like to know more, follow the link, but it makes me queasy: I like the shiny carapaces, not the business ends.) The sub-group Heteroptera means Different Wings. Now we're really getting somewhere!
For more examples of What I Saw on My Holiday/Found in the Woodshed/Got Bitten by on the Beach/Had for Breakfast in the Desert/Found in my Sleeping Bag in the Woods, check out the fascinating website What's that Bug?, where you will find this holiday snap from Kazakhstan!
(in True Bugs:Heteroptera page 5: find it in the excellent sidebar index.)