"Your current security settings will not allow you to download this file" error box

"Your current security settings will not allow you to download this file" error box.
Okay, I am running into this problem whenever I try do download just about anything from IE or MSN. I have gone to microsoft.com and have read that there is a fix in the SP1 update for Internet Explorer, but the problem I am having is that it will not even allow me to download that. Now, I have checked the security settings. They are set to Medium (even tried low). I checked and made sure that the "Download file" option was enabled. I have also checked to make sure that none of the sites that I have tried were somehow on my restricted sites. I have also read that instead of just clicking the file for download, try right-clicking and using the "Save as" command instead. (Does not work either) I am not sure what else to do. I have sent an email to microsoft, but that was 3 days ago. I know that I can get a response from you guys sooner than that.

Thank you for any responses!

What type of Firewall do you have, it sounds like it may be a software firewall that is causing you this problem. I know for a fact that Nortorn Internet Security SUCKS and is known for this problem. If you have a software firewall, disable it. You may have to take it off your startup menu (msconfig) first and then reboot your PC to get it off there.

Software firewalls have been known to work just fine one day, then you get an update........and BOOM, LockDown!!