Win XP Pro blocking internet downloads.

I’ve got a workstation that is running XP Pro, connected to invernet via cable/dsl and when using apps that download files/updates (ie6, turbotax, etc) I get error messages that the system cannot connect to the server.
I can browse the web but whena file download is initiated it is getting blocked. I don’t understand XP well enough yet, but could it be something with FTP?
I’ve set the IE6 security settings to low and disabled all apps loaded in the startup.ini file so antivirus and firewall software is not running. I’ve even tried different broadband access – cable and DSL. I don’t get it!!!