Is there any chance that you have a download manager that could be truncating your downloads? Do other downloads, of other types of things, work well?
You could try to clean your cache and then try to download again, just in case. You could download with other program (use Firefox instead of IE, use Opera instead of Firefox, whatever).

The problem could be with your VOB files or could be with your Vue installation. In order to do a better diagnosis, you could send one of these VOB files to someone and have him/her try to open it in their Vue. If he/she also cant open the files, then you probably have a problem in your download tool. If he/she can open the files, then you probably have to reinstall Vue. If you want, I can do the test for you.