It's possible that the executable files - .exe and .dll - are being blocked by your anti-virus program, particularly if you have one that implements "heuristic" scanning. Norton Sonar and Comodo Firewall have both caused problems like that in the past - they've always turned out to be false positives.
Of course, you'll want to take all precautions, like pasting the download url (which can be found in client_state.xml) into https://www.virustotal.com/ - but in general the applications written and distributed by reputable BOINC projects are trustworthy (they get very close scrutiny). I'd certainly include Milkyway in the 'reputable' group.
It way even be that the 7K you're seeing being downloaded is an AV report, instead of part of the file itself. Try looking at your AV/firewall console, to see if it's blocking anything.