This error comes up when the Internet Explorer is at its best in securing your machine and network. Inorder to download anything from the internet which is essential, you need to change the settings in the internet explorer.
1> Open the Internet Explorer
2> Click on Tools --> Internet Options
3> select the security tab.
4> The zone selected should be internet as you want to download a file from the net.
5> Then click on "Custom Level" button.
6> Another box comes up. Then scroll down and check for "downloads" setting.
7> Enable File download.
8> Enable Automatic Prompting for File downloads.
9> Close the IE and open again.
This should help you in downloading the file from the net.