For those who use Norton AntiVirus 11 there is a conflict with downloading .exe files ever since Friday March 26, 2010, the Vulnerability Protection update actually started stop you from downloading .exe files from any source on to Mac OS X or Parallels guess OS. It took awhile to discover that Norton AntiVirus 11 Vulnerability Protection update was the issue since I had no problem downloading .exe file to Parallels 5 to my guess OS of Microsoft Windows XP before this Vulnerability Protection update and I have other security applications to go through. You can temporarily disable Vulnerability Protection in Norton AntiVirus 11 while you download .exe files. I have contacted Symantec Support about this issue and anyone want to contact them you are welcome to do so.
Antivirus If it is an issue, then i would suggest you to switch to some other good antivirus software that is fast, reliable and ensures safety like Immunet and Avast.