|That's a bit weird.|
OK, so you let the bar run across and eventually it says Run or Save. If you choose Save, where do you normally save it to (or what does it suggest)?
Did you take a note of the name of the file it is downloading? If so, what happens if you do a search for it afterwards?
Is this something that used to work then suddenly went wrong?
Is your machine really Vista because your post arrived on the W95/98 forum?
How to know you are getting old 5:
A lamp post backs into you