www.jfileupload.com

I tried to download file from remote host to my local desktop using IE7, the file showed up on the Explorer box after download, but I couldn't find the file on my desktop.

I did the same thing on Firefox, and it worked fine.

Is there anything I have to setup on IE7 in order to download the file, upload is working fine.

Thanks

You're using IE7/Vista, correct ?
You need to install the latest Java Runtime 1.6.0 Update 10 to make it works:
http://java.sun.com/javase/downloads/index.jsp

Another solution (if you cannot install last update) is to disable IE7 "protected mode" in security settings.