Did you check your security software (firewall, anti-virus)?

It is possible that anti-virus software is corrupting downloaded files or is interfering otherwise. Try to disable the real-time (live) scanning of files in your anti-virus software temporarily to see if that makes downloading work.

See also:

• http://kb.mozillazine.org/Unable_to_save_or_download_files

Nothing to do with firewall etc. Just when the download is slow or link break during download. This will happen. It's annoying Firefox not show download was incomplete.