IE7 Download Corruption

I have a particular file that I needed to download but IE7 consistantly corrupts it. It works fine with Firefox 2 and Free Download Manager. There is a strange dialog at the end of the download. This is a Print Screen capture:

 

It's not quite accurate because the progress bar is still there on the screen and there is a quarter of a (close?) button at the right hand end of the of where the progress bar would end.

I took a photo because I didn't seem able to Print Screen the dialog properly (bits were missing as above)