Computer can't Download

I recently have discovered that my computer will not download. When I click to download a file from the internet, the usual window will pop up asking if I want to save or open it, and then it will show the downloading screen. However, once the download finishes and gets to 100% the window just closes, the downloaded file will not open (if "open" was clicked) or save in the intended folder (If "save" was clicked). A search brings up a shortcut to the downloaded file in recent items, however if the shortcut is clicked it will fail to locate the file.
It is not a problem with my internet browser, so don't say "Download Firefox" because it doesn't download in Firefox either. I use Windows Vista and cannot remember anything unusual happening before the computer stopped downloading.
Thanks,
David