Security issue during export of Dashboard

Document ID : KB000104034
Last Modified Date : 03/07/2018
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I created a Dashboard in the Vantage Web Client. The export of a Dashboard fails with message:
"Your current security settings do not allow this file to be downloaded"
Which settings need to be changed?
This is a message from the Internet Explorer and not from the Vantage Web Client.
Be sure "File Download" is Enabled in the Internet Explorer in:
-> Internet Options
-> Security
-> Custom Level
-> Downloads