An alternative is to set up another folder with a similar name & choose that instead to download to. Then later move to your Musique folder.

Another option is to make sure you have permissions. Go to Control panel > Admin Tools > Computer Management > Shared Folders > select Shares. Go to Action menu & select New > File Share. Then browse to find Musique. In box below write Musique. Press Next button, then select permissions for either all users or all admins, etc.

That's how it is on Windows 2000, I presume it will be the same for XP.