If using IE, there is a way around that.
Choose Tools in the upper right
Go to Internet Options
Choose the Security tab
Choose Trusted Sites
Choose the button Sites
Type or Copy & Paste in the url in the first line then click the Add button
You could lower your normal security setting there but you run a risk. This way gets around that. What this does is set up a list of sites you designate with a different security level that allows you to download stuff. It also means anytime you go to those sites, they will open in a new browser window, it is normal. Works for me, I use it on several sites.