Change security settings inside IE.

>I am trying to install SQL Server 2008 Express on the customer server. Every time I go to the MS page to download and install it, I get message “your current security setting do not allow the file to be downloaded”. However, when I look at the User Accounts window (on this server) I see my User Name and I am Administrator Group in the Domain of this organization.
>The server is Windows Server 2008 R2 Standard, 64-bit.
>What am I missing?
>TIA