As I recall, DOS/windows has an odd way of allowing files to have long filenames.
All files are allowed to be eight characters followed by a period and three more letters. No longer. If you open a DOS prompt and look at your long-named files with the dir command, you'll see the same shortened names.
The long names are kind of 'virtual names' that windows shows you when you use the appropriate software to view the file names.
So the problem is, Windows is renaming your files to fit it's own way of doing things. Try just saving the downloads with names of no more than eight characters