Error: your current security settings does not allow this file to be downloaded

Click on the Internet Symbol, and click on the custom settings tab, there should be a section for file downloads all you have to do is the following;
Downloads
Automatic prompting for file downloads
=Disable
File download
=Enable

To turn off Internet Explorer Enhanced Security Configuration for a few user accounts, you can remove the IEHarden registry entry from each standard user account profile in Windows 7.

1. Log on to the terminal server by using the credentials of the standard user account.

2. Click Start, click Search, and then search for the Regedit.exe file.

3. Right-click regedit.exe, and then click Run as.

4. Click The following user, type an account name that has administrative credentials, and then click OK.

5. Locate and then click the following registry subkey:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zonemap

6. In the details pane, right-click IEHarden, click Modify, type 0 (zero) in the Value data box, and then click OK.
Note You can also remove this registry entry.

7. Locate and then click the following registry subkey:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings

8. In the details pane, right-click IEHardenIENoWarn, click Modify, type 0 (zero) in the Value data box, and then click OK.
Note You can also remove this registry entry.

9. Exit Registry Editor, and then start Internet Explorer.

10. On the Tools menu, click Internet Options.

11. Click the Advanced tab, click Restore Defaults, and then click OK.