If you trying to download digital protected files it will do this because of the new rulings that have been going on. If it is just regular files it would more than likely be that the files are just to big and the browser won't except them. Then there is the fact that some virus protection won't allow the download of files with .EXE files in them. thinking it is viruses or worms.
Then it could be that you have spyware/malware in your system and they are stopping the downloads.
and one last thing to check would be that your autoupdate program may be shutting the download off so that it can have priority acces to check for updates.
The issues all can have a major effect so it is basically a hunt by ellimination as to what the problem is.