Some files can harm your computer.
While visiting a secure trusted site in IE, you may encounter links to files which cannot be opened or saved. You receive the message: Some files can harm your computer. If the file information below looks suspicious, or you do not fully trust the source, do not open or save this file. You search Microsoft.com and come up with KB840386: Cannot open an Excel 2003 workbook by using Internet Explorer 6.0 but it’s no help. The page says there’s a hotfix but you need to have a service agreement with Microsoft to download it.
The solution? I found this page (brianmadden.com) which contained a solution posted by an anonymous user. Go to Tools > Internet Options > Advanced tab > Uncheck “Do not save encrypted pages to disk.” What’s really happening is that the file is being served over a secure connection so with that option enabled, IE is not allowed to save it to the disk. Therefore you can’t download the file or even open it since it cannot save it temporarily to disk. This option is disabled by default.