Can't download files from the internet

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Running a new installation of Windows XP SP2 with all updates.

I am administrator with full permissions as far as I can tell.

When attempting to download files from the internet I get the Run or
Save dialog.

Click on Save to disk and downloading dialog appears but no download
takes place and dialog window becomes inactive and freezes.

Task Manager must be employed to end task with the "program is not
responding" message.

Task ends and back to desktop.

Etrust AV installed and working.

Latest version of Zone Alarm 6.1 installed.

I'm missing something.

Thanks, Gord
.

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