Are you using the MSN browser? Thats what this problem sounds like to me… if you are trying to download things from the web using MSN browser, this is not messenger. Its a part of the MSN software called the download manager. If this is the case, then the solution is to remove the software through control panel > add/remove programs, and then also delete the MSN folder: My Computer > Local disk C: > Program Files > MSN. After doing this, reinstall the MSN software from your CD and try again.
Are you running a firewall program? It is very possible that a firewall is blocking these programs’ access to the internet. If you are already connected (IE can browse), but those other progs dont work, you may have them blocked. Also, if you are not sure if you have a firewall set up, you may want to check your virus software, as many of these progs have a firewall built in.