Internet Downloads Fail

When attempting to download a file via IE 5.5 User gets
1. Immediate download NO prompt for which directory to download to.
2. No blue % downloaded, But it is downloading, I can see by double clicked the two TV screnns on Bottom left.
3. When all bytes have been downloaded, well the Count shows that, a message appears “Internet Explorer cannot download from …. (URL) IE was not able to open this internet site”

Any ideas

Alan