I just ran into this too. I would very much like to download a file onto my phone's memory card and transfer the file to my computer.
Is it something to do with the warnings that all the app downloads have about what the program will have access to on the phone? Is there a way to disable that check so that the phone doesn't try to validate the file?
Similarly, it would be really nice if you could visit URLs without automatically being redirected to their mobile version. I tried to use vehix.com when I was shopping for a car recently and couldn't get to the "real" site, just kept getting forced to the stripped down mobile version. Even if I can't use all the content (flash, etc.) it would be nice to get a real error as opposed to just not being allowed to go there.
EDIT: Get a download manager from the marketplace. I just installed "Linda" and it worked fine.
http://android-dls.com/forum/viewtopic.php?f=9&t=138