How to fix: Your current security settings do not allow this file to be downloaded (IE)

When trying to download a file in IE you receive the following error message:

“Security Alert: Your current security settings do not allow this file to be downloaded.”

Steps to fix the problem (found here):

1. Start Internet Explorer.
2. Click Tools » Options.
3. Click on the Security tab.
4. Select the Internet Zone.
5. Click on the Custom Level button and then scroll down to Downloads.
6. Make sure to set File download to Enable.
7. Click OK.