after chatting with the Newzbin peeps and much testing, this problem is now fixed on the V3 site.
The issue was to do with IE not caching the file due to some missing headers on the web page. (set Content-Type to application/force-download)
So to anyone experiencing this prob, use the v3 site and you wont have the prob, however the V2 site does still have this prob as they dont plan to update the code.
They too were surprised no-one else had reported it as a problem. I guess its becuase its difficult to explain (as is shown from the replies in this thread). Luckily when I was on IRC chatting with the support people, one of them could replicate the problem, otherwise I think they would have probably said it was a problem with my system.