Downloading Winamp Skins: Download Blocked

Hi! I have been downloading some skins for WinAmp and have been getting Download Blocked errors. It might be my fault, because I remember being asked if I wanted to permit multiple downloads and saying no. I currently don't have antivirus software installed on my system. What can be causing this error? How do I fix it? BTW, the web site is Winamp Skin Museum (webamp.org).

BTW, WinAmp said I have to associate files to it manually on my version of WIndows. I can do it, but I want to do it automatically.