WinSCP never displays such message.
One idea: instead of downloading file you "execute it" (double-click or similar). WinSCP downloads it to temporary folder and executes it locally. The file is executable file and is part of some Microsoft software. It misses other files, which are part of the software, or detects that it was not installed properly and shows the error. Can it be? What exacly do you do to "download file"?
Thanks for the quick reply!
Yes, I thought it was most likely a windows "feature" - I am double clicking on the file to download it...
off on a business trip for a couple of days but will check back as soon as I am online again.