Download from the internet

You could put a firewall in place and block the ports, you could use a proxy server.

There are a few ways, can you give more detail and I'll try to help more.

Block their Internet Access totally.

By using the Web, people are sending requests to "download" a web page.  Therefore, to go with a strict interpretation of your question, the only way to block any downloading is to remove their Internet access completely.

Are you referring to large files?  Or files of .exe etc?  Or file sharing using P2P apps like Morpheus & Gnutella?

i do not want to stop them accessing the internet i just want to stop them downing loading any type of file

There's lots of types of files.  You're going to have to be more specific.

Types of files users typically download while browsing:
.jpg or .jpeg
.gif
.htm or .html
.txt
.pdf
Not to mention all the files associated with dynamic pages - ASP, PHP, etc.

You want to stop them from downloading LARGE files?  Or .exe files?

Close the FTP port in the internet configuration setup.This will allow the user to access the internet at the sametime stopping him from downloading the data.

closing ftp will not stop downloading data, only a small portion of files are downloaded today using ftp most web sites use http.

What type of firewall do you have?  Do you have any type of web proxy options?  Do you know what method they're using to download the files - as mentioned earlier, you can block gnutella and other file sharing apps via ports.  Same goes for files downloaded through common IM applications (AIM, MSN, etc).  Depending on your hardware you can also throttle an end-users downloads effectively preventing them from downloading larger files, like MP3's, movies, etc, but still allow the small downloads required for webpages.

Your asking a very loaded question here.  Everytime you go to a webpage you are downloading data.  So you must ask yourself what do I want them to stop downloading.

You can most certainly put restrictions in place to block .exe, .zip, .<whatever> to limit this but it will require some type of proxy and/or proxy configuration.  (you can do some neat tricks with .pac files without actually having a proxy server)

Now on a professional level, your best way is to train your users and setup a policy.  Its very easy to generate some mrtg graphs prior to sending out a "don't download things from the net" and see how fast you get results based on your graphs.  This is usually the most effective way.  If your paying them, they'll listen most of the time.

i would want to stop .exe and .zip files being downloaded

You could setup a proxy server for free using linux, something like Redhat running Squid proxy server could do this.

We use http://www.packetdynamics.com/  which is a similar thing but does content filtering.