I work tech support for an ISP and I had a customer who was getting the error "Your current security settings do not allow this file to be downloaded"
He was trying to open a .pdf file in Outlook Express. I checked and reset all his security settings and it did not help. I eventually found out he did not have Adobe Reader installed on his PC. Had him download and install that. Problem solved.
Make sure you have the appropriate program to open the downloaded file. Just another possible solution.