To me this sounds like a firewall/antivirus protection problem.
Can you be more specific? what internet connection, running any firewall, internet accelerator, download manager, antivirus, webwasher, popup blocker, sexsite blocker, personal firewall/router?
Any of these could be misconfigured. I guess downloading other stuff is fine, wmv/avi/zip files you did download?
You do click on save and not open?