Firefox does exactly the same thing.
AV is Trend Micro OfficeScan.
Can you temporary unload Trend OfficeScan? Right click on blue icon next to the clock and choose Unload
If it asks for a password you will need to contact the OfficeScan Administrator.
Trend Micro OfficeScan includes a service that works like a proxy it will intercept and filter all the http traffic, if for some reason its not working properly it can interfere with the downloads.
If you unload OfficeScan the service will be disabled and the download should go directly.