If you have windows XP restore the computer back to before you installed what ever yahoo told you to install. You can do this by going to start > All programs > Accessories > System Tools > System Restore. This will just back it up a few days. You won't loose any files you've saved or downloaded. But this will get rid of the program yahoo tried to make you download. If you want to upgrade to the latest internet explorer go to www.microsoft.com/ie this will bring you right to their internet explorer webpage. Or you could bypass this all together just download and use firefox and call it good. www.getfirefox.com
First try to resume the download with the downloader, or un-install / reinstall (if possible).
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Go into windows rollback mode if you have it enabled
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Download MS IE Explorer from the site ONLY MICROSOFT.COM SITE!
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Access IE Explorer by going to my computer and typing a web address on the top (if you have view>address bar checked) (drag down by right clicking and unlocking menu)