Turn off "Internet Explorer Enhanced Security Configuration" on Windows 2008 Server or Windows 2003 Server

On Windows Server 2008
1.  Go to Server Manager
2.  Click the top item in the tree labeled "Server Manager"
3.  On the page that appears, go to "Security Information"
4.  Look for "Configure IE ESC" on the right and disable the feature
5.  Close all Internet Explorer browsers.
6.  Open a new browser to attempt the download again.