Microsoft's web server Internet Information Services 6 is pretty much locked down out of the box.
Just a couple of extensions (mime types) are open for download.
This can be changed easily, but has to be done by the server administrators.
The situation you are describing sounds like a typical IIS6 question. Only zip files can be downloaded, not dms, lzx, lha etc. These file types will just return a 404 File Not Found.
Of course I have no idea what web server they are running, nor do I have any interest to check it. :-)
Edit: I couldn't help it, I had to check. And it's an IIS server.