Are you getting a yellow line across the top of your webpage when you try to download?
You can also try launching Internet Explorer in safe mode:
Here’s how you can disable all addons/extensions and run IE 7 or even IE 8 without them:
•Go to Start > Run
•Type iexplore -extoff
If you can download while in safe mode, you likely have an add-in or toolbar interferring and can start weeding them out using Tools->manage addons and Tools->Toolbars
You can also go to Tools->Internet Options->Advanced Tab and click on the reset button (but this will reset everything back to original)
Let me know how you make out with these suggestions. Post back here if you have any questions.