Why can't I download .exe and .reg files?

Hi! I hope you can help me in my computer problem. I have trouble downloading .exe and .reg files. I'm not sure but it must have been for some weeks now that I had this problem. When I download these files, the Downloads Window of Firefox will appear, but will show that the download is "cancelled." I click the retry button and it starts to download, but after the download completes, the file doesn't appear on the designated Download folder. I tried searching for it in the desktop it but it still doesn't show. What can I do to fix this problem? Thanks in advance for all the help! :)

As indicated you can right click 'alarm clock 1' on http://www.pacdv.com/sounds/domestic_sounds.html to download it.
I must admit that this is silly especially if you have already gone to the full link and listened to the file. In this case it will have already been downloaded but finding it is tedious - I suspect it is only in RAM - not one of Safari's good points!
I hope this helps.

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