Sometimes file downloads gets corrupted during transfer - especially HTML downloads - and won't save to disk...
Download managers really help! I used to rely on FlashGot/FDM (Free Download Manager) but DTA (DownThemAll!) works just as good.
If a download fails, make sure to clear your browser cache before attempting to download it again, otherwise, the browser will just use the bad copy in your cache, instead of downloading the file from scratch.