If you do not want to change the current options of your MS IE browser, please click on the top part of the login window when it changes its content after you have logged in, as shown below. The message there is shown only for a short period of time, so if you do not manage to click it the first time, you may need to start over by clicking again on the name of the program you want to download. After clicking, a small window appears, where you should select "Download File". Then a normal download window will appear, and you can proceed in a standard way.
If you prefer to avoid the addtional steps described above, go to IE's "Tools" menu, and select "Internet Options" there. When a window like the one shown below on the left appears, select the "Security" tab there and, then click on "Custom Level". Another window will be displayed titled "Security Settings", as shown below on the right. Scroll down util you see the "Downloads" section and "Automatic prompting for file downloads" under it. Set this feature as enabled and then confirm your changes. Then, each time you start downloading files, it will not be blocked; the standard download window will appear.
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