problem with downloading

Hi, firstly, I would like to say that I'm really happy for this site, I got plenty of games I've waited for ages to find and many of them are not available in Australia, so, thank you.The problem is that, when I click on the "download from ... server" buttons, when the files finishes downloading, it says something like "Could not find this item. This is no longer located in C:\ ............ verify the item's location and try again."
what does that mean? Every rom I download using this way ends up the same way, the only way I can download is through the mirrors, but some haven't got mirrors so I can't download them, please helpThanks in advance.

Try download it using a Download Manager like Free Download Manager or Flashget.

Make sure you remember where you save it after the download finished.
Did you use download manager when downloading?

I think you're clicking 'open' not 'save'. Always click 'save'

I right-click and select "save as" and saves to my desktop, but always get the problem I mentioned above.

left click the link and it will come up with a box offering 'open' or 'save' Choose save and make sure the disk has enough space. Saving to the desktop is a bad idea because large files on the desktop make your computer take longer to start up.