I find it quite annoying when I need to use a website and download files and Internet Explorer it always block the download and display a yellow bar shown underneath the address bar and say: “To Help protect your security, Internet Explorer blocked this site from downloading files to your computer. Click here for options” after you click on it and select download file, the page may refresh and you need to click on the file you want to download again

Finally I worked out how to get around this issue.

Solution:
Click on “Tools” –> “Internet Options”

On the “Internet Options” dialog -> Select “Security” tab and Click on “Trusted sites”

Click on “Sites” button
Paste the website address onto the “add this website to the zone” text box and click on “Add”
* you may need to untick the “Require server verification (https:) for all sites in this zone” tick box.
Click on “Close” button
On the “Internet Options” dialog -> Click “Custom level …” button
Try to find the “Downloads” Section
On the “Automatic prompting for file downloads” select to “Enable”
Then Click “OK” to confirm the changes.

The Yellow bar “To Help protect your security, Internet Explorer blocked this site from downloading files to your computer. Click here for options” should not appears for any site listed on your trusted site list any more when you try to download a files.

Hope you find it useful