Try internet options>security tab>web content zone>custom level>under download options for file download select enable.
You can revert back to IE6.Also after this is solved you might consider trying FIREFOX
One day I was downloading some wallpaper and the very next day I wanted to download something else and now I can't. The dialog box only shows cancel on it. It does not show run,save or open anymore. Just out of the blue it quit working. No matter what website I try to download from nothing happens. Internet explorer keeps saying that there is a problem with the website,which is hard to believe that all websites are having trouble at the same time. I have ran a virus scan,spyware, deleted temp. internet files and nothing seems to help fix the problem. I have a Dell Dimension E520 Desktop pc with Intel pentium D processor 820 with Dual-core technology and Windows Vista Home Basic. Can anyone Help me???? Thanks!!