Please provide this information and we'll look into it...
1. Operating System
i.e. Windows XP / Windows 2000 / Mac OS / Redhat Linux, etc...
2. Browser you are using and version
(You can get this by going to HELP -> ABOUT
i.e. IE 6.0.2800.xpsp2
3. The exact error message you get if any.
4. What file you were trying to download.