It is known that there are some nasty bugs in v0.95 and this is one of them i think....Or maybe your paths to storing files are incorrect ? I don't thik so since gtkg can handle it by adding .OK at the end of completed file name.

You should download current cvs and compile it by yourself

Here you go

cvs -z3 -dserver:anonymous@cvs.sf.net:/cvsroot/gtk-gnutella co gtk-gnutella-current

Compiling
./Configure <--"answer some easy questions"
make
su
make install

Have fun