This behavior occurs when the security settings for the Local intranet zone of the Web browser are set to High.
You need to adjust them lower for the download. Then you can put them back up.
For IE 6 &7 see this MSFT linkhttp://support.microsoft.com/kb/899630
have you run a Scan with yur Antivirus from Safe Mode?
Using the F8 Method
Restart your computer.
When the machine first starts again it will generally list some equipment that is installed in your machine, amount of memory, hard drives installed etc. At this point you should gently tap the F8 key repeatedly until you are presented with a Windows XP Advanced Options menu.
Select the option for Safe Mode using the arrow keys.
Then press enter on your keyboard to boot into Safe Mode.
Do whatever tasks you require and when you are done reboot to boot back into normal mode.