Hi,
Start by running this combo: Each of them.....
Run Ad-Aware SE, Spybot and HijackThis:
http://www.majorgeeks.com/downloads31.html
Note: Update each program, once installed, before running.
Once done, try again. If this behavior persists, more info here:
Go to Start/Run/Regedit and see what is listed under the key below: Many
have claimed that the culprit is listed there.
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\Extensions
Go to IE/Tools/Internet Options/Advanced/Uncheck Enable third-party browser
extensions.
If you using any third party download manager, disable or uninstall. If you
are using a Firewall program, check the settings. (Tiny is known for this).
If you using an "Ad" filter program disable it and see if downloads work.
Windows Explorer/Tools/Folder Options/File Types/[File Type in
Question]/Advanced. Put a check in the box that reads: Confirm open after
download.
Clean/clear out your Temp/TIF/cache files.
Temp Files: IE/Tools/Internet Options/Delete Temporary Internet Files
Temp Files: C:\Documents and Settings\<username>\Local Settings\Temp
Keep us posted and hope all goes well.

)
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All the Best,
Kelly (MS-MVP)
Troubleshooting Windows XP
http://www.kellys-korner-xp.com