Can you download any other programs ? Or does this happen to them as well?

Have you ran a full anti-virus scan and rootkit scan

(please read this and try to download scanner)
RootkitRevealer

Some viruses display this attribute and stop the downloading of any files that may be used to remove them...some games use scripting that is similar to the scanners.

There maybe an issue with your IE program that is disallowing downloads. Have you looked into uninstalling the IE and then reinstalling it!