The only place I can think of where to change this is somewhere under the Tools menu. But I haven’t used IE in ages, so I can’t help much. But seriously, Firebird/Opera/etc are all so much better than IE, why use something bad if better things are out there?
Try going to “tools” then “internet options” and try the advanced tab. You could also try “security” select “custom level” and you could individually choose everything (enable, disable, or prompt before download). The original window you were getting was “prompt before download”.
And if any of this doesn,t work or confuses you you could also just try setting everything back to “default” under “internet options”.
I agree to use firebird, but when I used it, I could never seem to get sound OR flash player to work. This came to be very bothersome on mondays, you know, sbemails… but the new versions of plain old mozilla work great with their pop up protection