Try this...
In Internet Explorer, click Tools and then click Internet Options.
Click the Security tab, ensure that Internet zone is selected, and then click Custom Level.
In the Downloads section of the list, under Automatic prompting for file downloads, click Enable.
Click OK.
In the Warning dialog box, click Yes.
To close Internet Options, click OK.
Try to download something
If the above doesn't work...
Ask your friend to download Firefox for you, put it on CD, and install it on your computer.
See, if same thing will happen.