If you're running McAffee firewall then disable your XP firewall as they have been known to clash with each other (go to the control panel, double click on Windoze Firewall, check the disable box.)
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When I came back to check things out Windows was asking me if I wanted a download-I replied no(would do it later).
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I don't understand what's happened here from your description.
See the following link & follow all the off-shoot links to find hints & extra skills to solve your problem:
To continue files downlding (click on link)