downloading from Internet Explorer...please help

Alright, I'm new here and I need some help. Say I'm on a website and there is a link to download something. I click the link and the download thing comes up and shows its progress and such. Say for instance I'm download a song off of a website that is 5mb. The song will be downloading and maybe get to 2mb and just stop and it says "Download Complete." But yeah, it's not the whole song. So I go back and do it again, and this time it might only get 300kb of it! This happened while trying to download a video from a website I visit quite often. I thought it was just bad luck and just forgot about it. A few days later I get a link to a song I really want to download and yeah, same problem, different site. Anybody know anything I can do?