If you have IE, try cleaning your temporary internet files. I remember that a large amount of temp files could cause problems with downloads. Also, make sure you've cleared the file from whatever program you downloaded it with. For example, if you've Kazaa'd something, and someone's uploading it, the file is in use.
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I'm gonna be rich and famous, as soon I invent a device that lets you stab people in the face over the internet.
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