I guess you'v tried this?
Downloaded files are saved by default, in - Start - Documents - Downloads
or (in Windows Explorer) users - username - documents - downloads.
You don't specify where you are trying to save them. If you have System files unhidden, you can see all the "off limits" "My... folders. You cannot save to these.
A third possibility orientates around your anti-virus. Have you recently installed a new antivirus program, or do you by chance have two running at the same time. I use Avast but I had AVG until recently, and that, uncustomised, had a habit of throwing out downloaded files if it thought they were suspicious.