I can't help with your download problems, but I would like to offer what is probably the most important piece of advice you'll receive in this thread;
DUMP NETZERO!!!
Seriously, NetZero is probably the biggest ripoff on the net.
First off, no legimate ISP forces you to use custom software. Every single version of Windows from 95 onwards includes everything you need to configure a dialup account. Any half-way decent ISP can talk you through setting up an account using Dialup Networking in about five minutes, ten if you have trouble following directions. Not only does NetZero force you to use their own custom software, but the toolbar will prevent anything else from opening on top of it. This means that most commercial games can't be played while you're online with NetZero.
Second, I don't know if they still do this, but several years ago, they were notorious for raising people's monthly rates without warning. They'd claim that the person was using the service too much and then either limit them or raise their rates. They will disconnect you at random because basically their service can't handle the number of accounts they've sold.
Third, trying to cancel your account with them is a nightmare. They will continue to charge you month after month, no matter how many times you call the customer service number.
Fourth, NetZero doesn't give you all the freatures of a real ISP. In particular, they don't include newsgroup access. Newsgroups are kind of a dsitributed message board system that covers the entire world. There are thousands of newsgroups on every topic you can think of and any message posted to a newsgroup will be distributed around the world. People also use them to post files, tons and tons of files. Many ISPs have lousy newsgroup access, but NetZero doesn't offer any at all.
If you want/need to find a cheap ISP, I'd suggest you check this web site;
Freedom List
Click the Find ISP link in the upper right corner of the page, then narrow your search from there. They only list ISPs that are 9.95 or less a month.
If you're still thinking of signing up with NetZero, I encourage you to read the user comments on Freedom List, which you can find here;
NetZero Comments (Find ISP > United States > Free > NetZero > Comments)
Find a reputable ISP, sign up, ask to speak to their tech support and tell them that you want to manually configure Dialup Networking. It's not very complicated (after doing it once on Windows 98, I was able to fumble my way through setting up an account on an XP system) and you'll be online within an hour.