Clicking 'save' when dowloading programs closes window

Not sure if this is a Vista issue or an IE one, so please indulge me. When

clicking on a download link for a program in IE, the usual box comes up

asking if you want to run or save the program. When I click 'save', the

box and the IE window instantly closes - when I click 'run', the program

downloads and runs normally.

I've had a nose around in Defender in case this is the source, but can't

find anything relating to it. Might someone have an idea of the cause?

Many thanks in advance.

Ian

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