See if I understand what you are saying.
You find a software title on the internet using Internet Explorer 8, (IE8). IE downloads the software file installer to some location you choose, (I always choose my Desktop as it is easy to find again). Then when you click on the file, what happens? Any error messages?
Is this every file you download or just a particular one? If just one, tell us where it is so we can see if there is anything unusual.
Im running window 7 and explora 8 and when i try to download a programe by saving it, it doesn't start. Ican on my old xp computer with the same antivirus programe and all settings the same.