Just a couple of thoughts
Have you tried using IE7 at all? The techie may have already covered this, but somewhere in the download process I remember seeing a note about how their setup is supposed to me most compatible with that web browser. Also, you may want to adjust your browser settings. I know that when I download the videos (27 successfully, so far) I'm always receiving a prompt asking me whether I want to allow the download or not. It's possible that certain settings within your browser may be set to automatically reject the process without a prompt.
Hope this helps,