Same problem where, no real solution!
I have a workaround though, I open the
FTP URL in a new window, clear the
file name portion, and ENTER, to
browse the folder for the file, then I can
download the file.
This looks like an IE problem to me, because
I can use FTP normally from Netscape, on the same
computer - probably something MS messed
up on one of their security updates.