Download problem

Whenever I try to download a file, I get a blank white screen with a rectangle in the top left of the screen that has red, green, blue; circle, square, triangle. I have W98SE and IE6. I use zone alarm, but still get the same problem with it turned off. If I have the option of save to target or copy to folder, I can get the file. But, if there is a “Download now” button, I get the white screen as described above.

What is happening here?

Any ideas would be appreciated.