Why can't I save files from the internet? Also, why won't this thing shut up!?!?

I'm using Mozilla Firefox 4 and for some reason it won't let me save files off the internet anymore! Whenever I right-click the link to the file and hit "save link as" it just shows an hourglass and if I move the mouse it just turns back into a pointer and never opens up the save file window! I think it might be because I accidentally turned on some XP Anti-Malware thing-a-ma-jig and whenever I open FF it pops up saying that this program is trying to access the internet blah blah blah Allow? and it is so Freaking annoying because it keeps on having these things pop-up in little bubbles saying that my computer is going to die if I don't register it or whatever!!! IT'S MAKING ME PO!!! And I have no idea how to make it stop and go away! So now I can't download any files off the internet anymore! I don't know if it's because of the anti do-hickey or what but someone help me, PLEASE!!!