Ok...I solved the problem about 5 minutes after my post. It refuses to download if I have "Use Hijack when Possible" enabled in the Options window. Once I disabled that option, the downloads completed properly. If anyone has an explanation for this behavior, I would appreciate it.

One other question: can someone point me to a list of fields I can enter in the "Filename Format" box at the top of the options window? I currently have "{artist} - {album} - {track} - {title}{ext}", but I would like to put the track number in the filename. If possible, I would also like leading zeros before track numbers <10.

Thanks.