WAV file not working

IE V6.028

I have a web site with a large (117MB) wave file.

When I click on the link, I see the downloading message at the bottom of the
window. It looks like it is downloading the wave file, after a while the
link changes color to "unvisited" and the wave file never plays. And I
cannot locate the file anywhere if it did get downloaded. It for sure is
not in the Internet temporary files folder I can watch the disk space go
down during the download so I am sure it is working.

Any ideas on where this file might have been placed?

This works on two other computers OK, just not on this one.

Oh, and one other thing. With this computer on this site, AFTER I click on
the download, If I click on Tools-Internet Options I get an error window
that says "The operation has been cancelled due to restrictions in effect on
this computer. Please contact your system administrator" However if I
simply go to the site and do not click on the wav file link, access to the
options is normal.