Well, that means that the file that you're downloading is either infected with some sort of virus/malware or then the site you're downloading it from is either infected and blacklisted.
are you using like avg and you get a notice in the corner? its most likely the built in resident shield is blocking the site or download since the site may have some spyware/virus links on there. if you know its a safe site temp disable resident shield or your virus protection to download the file