Thanks for your posts.
I'm pleased that you've now found at least a partial solution to your problems.
Now that we know that the problem is with your PC, rather than with the link, I've been trying to work out what the problem might be. It could be your firewall which is blocking file downloads but it's more likely to be connected to your browser's security settings. I'm assuming that you're using Internet Explorer. Try the following. (My instructions relate to IE5, but IE6 and IE7 should have similar settings buried somewhere in them):
Go to Tool > Internet Options > Security.
Click 'Custom Level' and scroll down to 'Downloads > File Downloads'. Check that there's a dot in the circle next to 'Enable'.
If there isn't, you obviously need to put one there, then click 'OK'.
If there is already a dot there, try clicking to remove it, clicking 'OK', closing Internet Explorer and restarting your PC. Then repeat to process to reinstate the dot. (I've no idea why doing something like that works; I just know that it sometimes does).
If that doesn't help,try a file download from somewhere with your firewall temporarily disabled. (Press Ctrl+Alt+Delete, enter the Task Manager and use 'End Task' to close your firewall. Restart your PC to turn it back on).
Chris