Downloading Troubles

I AM RUNNING UNDER WINDOWS XP, WHEN TRYING TO DOWNLOAD A FILE, THE HOURGLASS APPEARS BUT AFTER A FEW MOMENTS, MY COMPUTER STARTS TO MAKE A "REVVING-UP NOISE)......NOT SURE WHAT THE NOISE IS BUT IT HAPPENS EVERY TIME THAT IT WON'T DOWNLOAD. EVEN IF I GO AWAY AND WAIT, IT NEVER DOWNLOADS. I APPRECIATE ANY SUGGESTIONS YOU MIGHT BE ABLE TO OFFER.

THANKS
Don6mile