This was a tricky one, took a little while to figure what was happening.
Anyways, step to resolve;
Open Internet explorer > tools > select ‘internet options’ > click on the ‘advance’ tab > scroll down to ‘security’ section > uncheck ‘check for signatures on downloaded programs’ > then click ‘Apply’ > then click ‘ok’.
Once this setting has been changed, try and download the file.
If this has work, re check ‘‘check for signatures on downloaded. For some strange reason it will still allow you to download the file direct, I think it’s a ie8 issue.
Hope this helps!