The solution that you are seeking can be achieved in the server model easily, however if you are the administrator of your computer and hopefully using Windows XP as an OS then make a restricted user that you want for restricted permission for downloading. Now open gpedit.msc from Run box and under windows component there are several options that you can try to disable. But I would recommend you to disable the disk in My Computer for the user so they cannot save the downloaded program. Also disable any USB flash media so that the user cannot use any external media to save the downloaded item.
Hope you get my points.
Cheers!