When I try to download

This problem more than likely developed during an upgrade to your MacroMedia Flash player, of which it has made itself your computer's default JPG file type reader. You can change it back to your prefered software by right-clicking on any JPG file in Explorer (not Internet Explorer), and choosing OPEN WITH/and selecting your prefered software's executable file (for me, it is Paint Shop Pro). Try that, and see if you get the same message. Or, try using My Computer, and choosing the drive letter that is your memory stick, and just copy or move the files just as you would to any other drive and folder.