I ran into a goofy download thing yesterday downloading some "normal" .wmv files from a site with the updated Safari 5.1.7 running in SL.
Clicked to wmv files to download, nothing showed up in the downloads window, there was a brief reload of the site and then nothing. It happened several times so I just gave up.
Then later I noticed the wmvs were on my desktop, my Safari setting for any downloads. Strange behaviour change.
I'm going to try checking again later today and see what happens.