I've had the same problem downloading OR saving files from yahoo. It opens the 'Getting File Information' window & it never opens or saves the file - the little document just flies into infinity.
This only happened with Office documents (.doc, .xls, etc.) and not zipped files or photos. I could zip the same .doc file & it would download OK. What a PITA.
I does seem to be a IE 7 glitch. I believe this problem (among others) started after I installed XP SP3.
I tried the normal.dot procedure in #12. Note, you have to go to the advanced options in your search engine & also search the 'hidden & system files'. I had 3 normal.dot files. I renamed them all to normal.xxx, opened Word & it did re-create a new normal.dot file. I restarted my computer, but still the same problem, it would not download the files from yahoo. Arghhh!!
So, I downloaded & installed the free Download Accelerator as in #20 and voila'!! My .doc files now download & open into Word, or save to my HD! And my computer is faster as a bonus.
Thank you so much!