Unfortunately, I don't know enough about your environment or how your downloading the files. The problem could be caused by Internet Explorer being misconfigured. Unfortunately, it's quite difficult to fix, since you can't simply uninstall and re-install it.
It's also quite possible that whoever manages your Internet connection has decided to block some types of downloads. This is commonly done by businesses and universities to reduce bandwidth usage. It may also be done to reduce the organization's liability for users downloading copyrighted material.
This was first published in January 2004