How many different types of files have you tried this with?
Have you tried files from different sites or is it always the same site?
Is size a factor? Does it work properly with small files but not large files?
What kind of connection do you have?
Have you tried using a different browser, such as Firefox?

It happens with any type of file and and I've tried a cuople of sites and it happens to all of them. Size issn't a problem here. We have a 64k dedicated line. No haven't tried firefox yet. Will look into it, but would rather stay with ie tho...

I recommended trying a different browser for testing purposes. If a different browser works, your problem is related to Internet Explorer. If a different browser doesn't work, it's a connection issue.

Please try many different sites. For example, don't just stick with the sites that you know you have problems with; rather, go to CNN and try to watch videos, go to Download.com and try to download some software, etc.

Also, see if just clicking a link to a file and letting it open acts differently than right-clicking a link and selecting "Save Target As...".

It also could be that only certain files have problems. In order to test this, I've setup numerous test files of different types for you to try: txt, pdf, doc, gif, jpg, csv. See if any of those links work for you.

Please try all that I've outlined and let me know your results.