Downloading Parts for Inventor 2011

[Jeffy]

Hello, I just got inventor onto our brand new computer .
I have some experience with Inventor and have no problem with parts and assemblies, however I am having trouble with downloading parts from Autodesk.

I have tried to download parts Directly off the Autodesk site.
And I have tried Firstcadlibrary.com

Here is my problem:
I have no trouble actually downloading and saving them to my computer, but when I try and open the files, they open, however the part does not show up because every single part of the assembly is unresolved and has the little "question mark" by it.

So my question is: What am I doing wrong, and should I be downloading these parts?

Disclaimer: I am really not much of a computer person, however I enjoy CAD software.