Are you trying to download version 6, update 3?
If you aren't trying to download it from sun systems, it may cause problems. You can get it here:
http://www.java.com/en/download/windows_manual.jsp
Is that where you are downloading? With IE 7 that shouldn't create problems (you already knew that, though) so I'm not sure what's happening. Maybe someone that uses IE can help, I don't (don't get me started
).
Love the new avatar, by the way.