Can not download anything from the internet?

So basically, my computer (Vista) will not download any programmes i want. I click on the download button, the window comes up i click on save/run.. it started to download, but it never downloads or saves onto my computer it just dissapears..
I have tried most advice i've found on the internet, to do with changing the security settings on the tool button, on internet explorer. It will not give in and let me download anything.. :( help please? x