Web Download Problem

I am running Microsoft XP Professional and Internet Explorer7 (connected
through Broadband)

I have tried a few times to download a program from the Microsoft website
(dotnetfx3setup.exe). After clicking on "Download", there is a long delay
while the download is supposed to be processing, but at the end I receive a
message that "Internet Explorer cannot display the webpage". No Download
Dialogue window appears to enable me to save the file to my PC.

At the end of it all, the website window, from which I was trying to
download the file, returns with a message to thank me for downloading the
file, but, of course, no file has been downloaded on to my system.

I don't have any problem downloading executable files from other websites.

Can anyone throw some light on my problem.