download dialogue box hangs

I am running Vista Home Premium. 1 week old computer all updated and
running firewall and defender. My problem is when I try to download something
from the internet the dialogue box just hangs and sits there, it does not
freeze the computer nor freeze IE. The only way to get rid of it is go to
task manager. I have downloaded update files from microsoft and pinnacle
without a problem. I just started today. Any help would help would be
appreciated.

ATS