So basically this is what happens and the back story to this is that if you have a computer with re-directed folders, which normally would be in a corporate environment, and you attempt to download certain files, you end up with this error message in the IE10 download manager.
This was a problem with IE9 but it was fixed here: http://support.microsoft.com/kb/2589171/en-us. It appears that with IE10, whatever fix they utilized, wasn’t retroactively applied to the IE10 code.
I did a little digging with Processor Monitor and found that I was getting a sharing violation error. I then Googled that, found a few web pages talking about the problem with IE9, finally read something about Microsoft Security Essentials being a partial culprit, did some testing and came to the conclusion that if you exclude .partial files from Microsoft Security Essentials, you can get around this temporarily. I say temporarily due to the fact that I hope Microsoft releases a fix for this although I am not getting my hopes up. What is the consequences of excluding .partial files from MSE? Well it basically means, I think, that every file you download isn’t going to be properly scanned. I may be wrong, it may scan the entire file after it’s put back together but I can’t say for sure. So if you do attempt this, you are doing this at your own risk, the possibility of downloading a malicious file and not being notified is very real.