Cannot copy file: Cannot read from the source file or disk

I am using Microsoft Windows Server 2003 R2 Enterprise Edition with Service Pack 2.
My ISP blocked P2P, so I use ImageShack's Torrent Drive service to download BT files.
After the BT files are finish downloaded, I try to download it to my computer but failed.
I use normal IE download, the download will starts properly until 99% and going to finish, then the error message appear:-
An "Error Copying File or Folder" window with the message "Cannot copy file: Cannot read from the source file or disk."
I don't know why this happen? Who's problems? I have tried many times but it just get the same error.
Can somebody help?
Thanks in advance.

PS: This is the first time I use Win2003, before that I use WinXP. Since I see that the Win2003 is similar to WinXP, so I decided to change it. Is there any windows setting that I need to change?