Looks to me like you have Norton Ghost installed on your PC and the file associations of the files you are trying to download have become associated with Norton Ghost.
What type of files are you trying to download? Does it happen with all files, or only with particular file types?
Say, you are trying to download ZIP files, right-click on a ZIP file in Windows Explorer, and choose the program to open it with.
The file has probably been successfully downloaded. Do a search for it from the Start menu.