I dunno. Vista does some weird shit. Like moving opened files.
On an older Windows version, if you moved a file to a different disk, Windows would copy the file to the new location, and then delete the file at the old location. If it couldn't delete the file at the old location, it would generate an error, and you had the file at both locations.
On Vista, if it cannot delete the file at the old location, it instead deletes the file at the NEW location! *bangs head against wall*
Anyhow, I have no experience with IE under Vista, but I had no problems with downloading in Firefox. Have you tried manually entering a save location, and then see if that location exists?