In Windows Explorer right click the file and click Properties in the popup menu. Then see if there is an "Unblock" checkbox on the lower right of the properties form, above the Apply button and below the Advanced button. Make sure the item is unblocked. I think Windows commonly blocks files that you download from the internet.
Also make sure you have full permissions to the folder in which you have placed the file. Sometimes, I think, under Windows, your user account does not have write permission to all folders on your own machine. Access needs to write an .ldb file to disk when you open the file, and if the account running Access doesn't have write permissions, the operation will fail.
Other than that, I don't know,
Mark