Hmmm, check your advanced IE settings and make sure downloads are allowed. If they are not, you could be infected with Powelik, which disables downloads.
MalwareBytes and Norton 360 are among the products not able to locate and remove this infection, but I found a free download (from a vetted source; i.e. it is safe) called Roguekiller that will remove it.
You can manually enable downloads (although it will get switched off again) long enough to grab it.