Here's one possibility, however remote:

The "File Download" dialog box in Internet Explorer 6 closes unexpectedly
even after you apply hotfix 896017:
http://support.microsoft.com/kb/928540
--
~Robear Dyer (PA Bear)
MS MVP-Windows (IE, OE, Security, Shell/User)
AumHa VSOP & Admin; DTS-L.org


Remay wrote:
> Running Windows XP Pro with Internet Exprorer 6.. Lately, I am unable (in
> Hotmail Service) to Download / Open or Save any E-Mail Attachment of any
> type or extention, Renamed, Compressed or none Compressed
> files/photos/songs or Documents, Not even a Text Document that Im 100%
> sure
> is Virus free.. even if I disable my Anti Virus and/or my Fire Wall
> programs.
> I can send and I can receive and I can read E-Mails, but I cannot
> Downlod/Open or Save Attachments..
> In my E-Mail inbox,, When I click on a received Attachment then on
> Download,, I can see some funny Downloading little window that start
> showing the proceess of some false downloading task that is taking place,,
> But with no destination, path or size.. or anything else in it exept for
> the name of the attachment/file.
> 10 seconds later that Dowloading process stops, and an error message comes
> up: Internet Explorer Cannot Download from 64.4.49.124. (which is not my
> IP
> adrs. nor any one that I know) !! then it goes in that error message:
> Internet Explorer was not able to open this Internet Site.. The Requested
> Site is either unavailable or cannot be found. Please try again later. (I
> tried and restarted my system many times, But with same results) I didn't
> have that Problem 4 or 5 days ago.. a freind told me that a freind of his
> mentioned something about Adobe Reader, which I think it is not the Case
> here....
> Any Idea or any kind of help would be appreciated.
> Thanking You.
> Remay