Why can I not download something from a web page?

This is probably a stupid question, but I am totally new to this.
This probably is not the appropriate place to ask, but is there a way to download a .exe that I need for a clients laptop (in the field) onto my iphone and then USB it to the laptop? I'm pretty sure about the USB part, but I was told by AT&T today that the iphone will not download programs like that from a web page. I do not want to run them on the iphone, just transfer them to a PC.
Maybe I should return the phone.
Thanks, your help is very much appreciated.
David.

The iPhone doesn't allow downloading of stuff (except saving of Pictures). It also doesn't allow you to take stuff off via the USB...there is no disk access to the phone, it is not a thumb drive. It is a closed and protected file system that requires iTunes to sync stuff to or remove...sorry.

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