I'd suggest uninstalling all spy/ad-ware through Add / Remove programs. New.net is one of them (comes with installation of Kazaa I believe). Also try uninstalling any download manager you may have, to make sure it's not causing the problems.
Did you find any information in the Event logs?
What sorts of files are causing this trouble? I sometimes have the same problem, mostly with .avi files (divx).
From what I've gathered, my problem is related to the preview feature in My Computer and the codec for that particular filetype.
So, if I have an incomplete download of a divx video...
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