When you use Internet Explorer to download a file to a network share, you receive:
This file is on a network drive with Create but no Modify privileges. Ask the administrator of this network to change this condition.
When you download a file with Internet Explorer, it creates a placeholder file, which it deletes before writing the final version to the share. This requires that you have both Delete and Modify permissions on the share, and on the folder, if the file system is NTFS.