This may be due to anti-virus software. We've heard of some AV solutions that automatically rename "risky" file types (such as all .exe's or even .zip's) with a proprietary filename extension, or automatically move the file to another location (such as a quarantine folder), so the user can't just open the download mindlessly and would have to deliberately rename the file back to .exe or .zip, or find where the file's been moved, in order to open it.
E.g., CA Internet Security software has a setting to rename all .exe and .zip downloads to .efw, so if IE downloaded a .exe file that got renamed to .efw once the download was complete, Windows would be unable to find the file name with its original .exe extension. If some antivirus software moved the file to a quarantine folder, Windows would be unable to find the file in the location where the user originally saved it.