Try these two methods for changing the security settings (if neither work go to Method #3):
Method #1
1. To lower the security setting in Internet Explorer:
2. In the browser's Tools menu, select Internet Options.
3. In the Internet Options dialog box, click the Security tab.
4. In the "Select a Web content zone" control, click the Internet icon.
5. In the "Security level for this zone" area, reset security to Medium.
6. Click OK.
Method #2
1. Select Tools Menu from Tool Bar
2. Select Internet Options
3. Select Security tab
4. Select Custom Level button
5. Scroll down to Downloads
6. Under File Downloads - If the File Downloads is not disabled you will not be able to download files.
To enable file downloads check the enable option.
Method #3
If neither of these work, read this article on the registry settings for IE security zones
http://www.addict3d.org/index.php?page=viewarticle&type=security&ID=581
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