Disk full ?
Mr. Ken,
It seems to me that maybe one of two things is happening:
1/ You selected the directory and filename you wanted to save the downloaded file as, however the drive ( a:, d: ) may be write-protected, like the floppy disc in a:, or the CD-ROM drive. If not this, then perhaps the disk drive letter you selected is 100% full, and so it has no space left on device to save the file.
2/ You don't 'save file as', instead your browser's (or OS) default setting is to open an application (like WinZip), which may no longer exist.
Have you tried downloading from a different computer, like at work ?
dwoods99