This sounds like a problem with your file extension associations. If this happens when you are trying to download, say, a .rar file, go into folder options in either Windows Explorer or the Control Panel, and go to the file types tab. Go to the extension that is not downloading properly, for instance, .rar, and click the advanced tab. Ensure that "confirm open after download" is checked. If it isn't, that would explain why files are opening instead of downloading. After checking the box, all files of that type should bring up the open/save dialog box.
Hope that solves your problem!
