Your current security settings do not allow this file to be downloaded

After upgrade to IE7/8, or when you install Windows 2008 by default, when you download files from the internet, you will see the following error:

"Your current security settings do not allow this file to be downloaded"
Microsoft do so is to fight unwanted program to be download to the PCs. However, if you would like to enable the mentioned settings:

On your IE, click Tools -> Internet Options.
Click on Security tab, on Internet, click Custom Level. On settings, find a section that shows download. On File download, put it Enable.