This will be a quite brief post, but yet many could benefit from this post. Do you see this message when you click a download link on Internet Explorer?
Don't worry this is not hard to solve at all. Just follow the steps below:
Open Internet Explorer
Click “Tools” -> “Internet Options”
Click “Security” tab
Choose “Internet” zone
Click “Custom level…” under “Security level for this zone” area
Scroll down to “Downloads/File download” in “Security Settings – Internet Zone” window
Click OK and Apply
Now you should be able to download your file.
Hope this helps someone.