Can't download .exe files

I have a friend who is running XP Pro SP-1 and IE 6.0. He has all the latest updates, etc. He does not have a firewall running. But he is running NAV 2002. He can download everything successfully except ".exe" and "MP3" files. He said he contacted MS but after an hour on the phone, the tech said he said he couldn't help and would have someone else call him, which never happened. Does anyone have any idea what could be causing this?

He says it seems that most of the files get anywhere from 75-80% downloaded and then it just stops. He doesn't get any error messages.

Jeff

 

Look here.