Did a google search. Partial quotes from two other forums:
"When you log into hotmail it prompts you for 3 choices for saving or
not saving your email address/password, if you select "always ask for
my e-mail address and password" you will not be able to download word
documents through hotmail. But if you select "Save my e-mail address"
then you will be able to download the attachment."
"Recently been having a problem trying to download attachments. Everytime we try to download an attachment you get the error message problem downloading from 126.96.36.199.
Any ideas would be greatly appreciated.
I had similar problem when using XP home SP2, after changing my internet settings, firewall and antivirus settings with no success, i felt like banging me head against a wall.
I found that the only way to get round this problem was to set up a hotmail.co.uk account then forward the email with attachment into the new account from the original hotmail.com account. This worked indicating that it is a problem with MSN and not the computer settings. i know its not a convient way to get around this problem but it was the only way i could get it to work."