(2-part post):
Hmm.
You've not stated which browser you're using and which ISP you connect with. You've also not mentioned your choice of firewall.
I'l try to work through the possible reasons for this message:
1. The server which the file is meant to be on is blocking access. (This might occur, for example, where someone is using a web-hosting site which has decided to block access to certain files. This might be because they breach the
Site Rules on 'adult' content or because the files are subject to copyright restrictions). If this is happening, everyone who tries to access the files will see the same message and there's nothing you can do about it.
2. (A variation on the above). Certain websites will allow access to some pages only to people who are connecting from an ISP in the same country. For example, fans of Sheffield Wednesday FC can listen to live commentary on their team's matches, from anywhere in the UK, by logging on to the BBC Radio Sheffield site. However, if they move abroad, they won't be able to receive the broadcasts over the internet because the BBC don't have international broadcast rights and they have to block access from overseas. If the site you're trying to connect to is designed to only be accessed by local users, you can only get round the problem by connecting through a proxy server based in the same country as the host server.
3. A local server, which feeds your internet access to you, is set to block certain types of files (or specific web sites). This most usually occurs when people try to access certain web sites from work but can also affect students who get their internet access through their university's server. Once again, there's usually little you can do about it.