If you installed Windows Service Pack 2 you need to configure Internet Explorer to allow the downloading of files.

From the Internet Exporer task bar select:

Tools >
Internet Options >
Security >
Custom level >
File Download >
Choose Enable.

Cause:
This may be because you have a 'download accelerators' installed on your computer. You may not have installed them yourself - they might have come with a package from your Internet Service Provider.

Solution:
The simplest thing for you to do would be to remove this software - you can do this in Add/Remove Programs:

From the Start Menu >
Control Panel >
Add/Remove programs.

Note: Common brands of these are RealDownload, Download Accelerator, GoZilla, Download Demon and DAP (Download Accelerator Plus)