If the problem relates to downloading the file from the web site you're opening, it could be because the:
◦ filename or path is no longer valid; and/or
◦ the file is being used by another program.
Alternatively, it could be due to a change in your IE security settings. See under IE> Tools>Internet Options>Advanced> Security. Resetting the Advanced Settings may resolve the problem.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]