These error messages are due to the restricted browser settings that can be enforced through Internet Explorer.
This mostly occurs if the web server resides on an external Secondary Web Server.
This document covers the IE settings to resolve this problem.
- Navigate to IE browser - Tools->Internet Options->Security
- Select the "Internet" zone and hit the "Custom Level..." button
- Scroll Down to Downloads and make sure that "Automatic Prompting for file Downloads" is enabled. You will need to verify that you want to make the changes, select "OK". You may want to restart the browser to make sure that the cache is cleared.