How are you connecting to the Windows 2000 server; is it just supplying an internet connection or is it running a Domain/terminal services/something more complicated?
When a file is downloaded from the net; it downloads to the "Temporary internet folder". Then, when it has completed; it then copies the file to the location you chose. However; I'm at a loss as to why it's only asking after it has downloaded!
Anyone else? Or can you provide any more info tenderometer?