By default, the version of Internet Explorer that comes with SP2 blocks files from being downloaded without your knowledge. When IE blocks a download, it displays an alert in the Information Bar (just below the Address Bar). To let the download through, simply click the Information Bar and choose “Allow this page to download files”
When you click a link to download a file, you should be able to download normally. But if you get the “Your current security settings do not allow this file to be downloaded” error message, you’ll have to change your download settings. Select Tools > Internet Options and click the Security Tab. Select Internet as the “Web content zone”, and click the Custom Level button. Scroll to the Downloads section. Choose Enable for “File download,” and click OK. Click Yes when you get a message asking if you want to change your security settings, and then click OK. From now on, when you try downloading a file, it will be blocked, but information Bar will appear, allowing you to complete the download.
