Start with this, and if no joy then please post back here with the complete
and exact error message.
An Error Message Occurs If You Click "Save Target As" for a Link
If you click the Save Target As command on the shortcut menu for a link, you
may receive the following error message:
Internet Explorer cannot download " Filename.ext" from " Servername".
Internet Explorer was not able to open this Internet Site.
The requested site is either unavailable or cannot be found. Please try
Again. http://support.microsoft.com/?kbid=319032 (i. e. 5. 6. W98/se/ME/NT4/2000/XP
Jun. 5, 2003)