Check your Security Settings under the Tools->Internet Options->Security
tab->Custom Level section and make sure you have "file downloads" enabled.
It may be that the security setting was changed?
Also, are you able to save the file manually by selecting Save Target As...
when right clicking it?
More: This may be caused by a third-party program (adware, spyware,
parasite).
Get AdAware and SpyBot and run them both. Keep them up to date.
Dealing with Unwanted Spyware, Parasites, Toolbars and Search Engines http://mvps.org/winhelp2002/unwanted.htm
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