WINDOWS IS BLOCKING FILE DOWNLOADS FROM INTERNET

Hi all,
Windows does not allow me to download anything from the internet. Whenever I have anything to download, Internet Explorer will initiate the download, but subsequently it will stop and a pop up window will indicate that the file cannot be downloaded.
I thought that maybe because the file is coming from an unknown publisher, my firewall is blocking the download. I disabled the firewall, changed the security settings but nothing happened.
Thanks folks.
