FrameWork
well part of your problem is your running old kazaa
i have the newest version and part of the setup for download you can set how it downloads ie. if it opens the program after download or just saves it
plus i use avg6 by grisof as soon as you try to open a folder that contains a file with a virus it warns you and tells you what file is infected plus avg is free
i've never had a problem downloading but every once and a while avg finds viruses before the download is complete whichis nice but for some reason its a pain in the ass to delet the files
till there done downloading another problem you might be having is with your write to disk privlages or fire wall

/edit

i looked at your pic and it looks like kazaa doesnt have access to the download folder
maybe the path or file name has been changed i got that message or one simular once and it was becuase the file my shared folder had been moved