IE has a number of bugs which lead to this situation; personally I've only ever experienced it with large JPEG images, when IE only wants to save them out as bitmaps. Solutions offered on the web include emptying your Temporary Internet Files (Tools menu -> Internet Options -> General tab -> Temporary Internet files area -> Delete Files button) and setting the size of your webcache smaller - apparently IE doesn't cope well with large numbers of items stored in the temporary internet cache. Do the latter by clicking Settings in the same area as before and lowering the size, to say 100-200 MB. I can't say that either of those helped me, but they seemed to help others. The alternative is to get some download manager program, find the address of the file you want and download it manually.