My parents' computer has a similar problem. IE is incapable of using Save As... on their computer. Netscape works, but IE doesn't. Using a download manager works, and sites load fine in IE, but it can't Save As... I've never figured out the problem. I tried everything. Reinstalling IE might fix the problem for you though. I don't know.

If you never get it working, you could always try to somehow get a download manager, on a disk off of someone you know, perhaps, and install it on your computer, and use that to download. They're better than using IE or Netscape directly, anyways.