I had the same problem with Yahoo. I could download .wmv files. But I could not download exl. and doc. files. I contacted Yahoo and their response solved the problem for me. Here is their reply......
DISABLE INTERNET BROWSER ADD-ONS/PLUG-INS
Each Internet browser comes with optional upgrades or enhancements
commonly known as "add-ons" or "plug-ins." These features make your
Internet browser more useful & certain add-ons or plug-ins can
potentially cause issues with Yahoo!7 Mail.
To find out if this is the case, please try one of the following tasks
for your specific browser: Common uses include (but aren't limited to)
Toolbars, News or Stock Tickers, Instant Messaging, Weather alerts,
Email alerts, Antivirus/Antispy and/or Games.
If you're running Internet Explorer 7.0:
1. Close out of all instances of the Internet Explorer internet browser.
2. Select "Start", "Settings", then click "Control Panel".
3. Double-click on "Internet Options".
4. Select the "Advanced" tab.
5. Under "Browsing", remove the "Enable third-party internet browser
extensions" check box.
6. Relaunch the Internet Explorer internet browser.