Sounds like you are saving the download to a read only area or your computer has a policy that is blocking the download. Try doing it on another computer and moving the file by using a USB drive.
Cheers!
Michael Wharton, MVP, MBA, PMP, MCT, MCTS, MCSD, MCSE+I, MCDBA
Website http://www.WhartonComputer.com
Blog http://MyProjectExpert.com contains my field notes and SQL queries