Can't download stuff using the Internet Explorer

HI

I'll try to download streaming videos, or simply a file
using the Internet Explorer. It then tells me that the
file can't be found. However, if I use say a downlaod
manager (e.i. Go-zilla), it downloads it fine

Unfortunately, streaming video can't be download by Go-
zilla. Neither can a use programs like Macromedia Flash
Player.

Any help would be great

Thanks