You can find this very anonymous problem any time when you are trying to download a file form the web server and find a error message like "Internet Explorer cannot download filename this particular web server."
But there are a lot of alternatives are available,like you can choose any third party downloader tool to download file or you can use other browser to download this file.
So conclusion is this, if you are able to download this file using other browsers or tools, but you are not able to do that on internet explorer. So the problem is definitely an Internet Explorer issue. Find here quick easy steps how to upgrade your web browser.
You can repair inter explorer to fix this windows problem and restart your computer and check that problem has been resolved or not. If this problem still occurs, you'll have to delete the index.dat file and restart your computer again. Then you'll be able to download files correctly again. Follow the steps below to delete this file to fix internet explorer can not download files problem-
Step 1: First Open Internet Explorer, Go to 'Tools->Internet Options', and click on General tab under Temporary Internet Files->click Clear History', and then click OK.
Step 2: Now close Internet Explorer, log-off your user account and log-on as Administrator account.
Step 3: Now open command prompt window and change directories to the temporary internet files directory by typing the following command, substituting the correct drive letter and the word username with the correct user in Windows XP.
Example: cd drive:\Documents and Settings\username\Local Settings\Temporary Internet Files\Content.IE5
Step 4: Type 'del index.dat' and press Enter.
Now exit from command windows and its time to restart your computer again.
After restart your computer, try again to download link using internet explorer and I hope it should work.
Also find here how to make your internet explorer browser secure >>