Can only download if I 'save target as'

Odd one this. I can dowload by clicking directly on a link for a little
while, but then I am no longer able to do so (nothing happens, no errors,
nothing in the log, nothing), but I can do so if I right click and save
target as. I cannot find a reason for this (though there must be one,
obviously!) If I close IE and then reload the site I was downloading from, I
can continue direct-clicking for a bit, then I have to 'save target as'
again. This isn't site specific, it happens whatever site I'm attempting to
download from and it appears to be accumulative (IOW, if I'm downloading
from one site, I may be able to continue downloading from another for a
little while, then it dies, or I could be able to move on to a third and it
dies then). A spyware scan (with both AdAware and Spybot) is clean, as is a
scan for viruses.

I have searched the usual sites for a fix (Kelly's and Doug's) but I've not
found anything (unless I'm not looking in the right place, which is entirely
possible!)

Pro, SP2.
--
Facon - the artificial bacon bits you get in Pizza Hut for sprinkling on
salads.

It would help if we knew what it was your were downloading. If pictures then
this is because your temp folder is full. Download to the "my documents" or
"my pictures" folders instead of using the default temp. Always specify where
to download an application or file to. When asked where you want the download
to be saved to, click the browse button and go to one of the folders I
suggested. They don't have limits on their size.