There are more involved ways of solving this - involving turning down/off your Windows firewall settings, deactivating your virus scanner or changing the zone settings. But the simplest way to solve this is to just fire up Chrome or a similar 'lite' browser and download the file you want through it. Only do this if you absolutely trust the site you're dealing with and remember to scan the heck out of the .exe file once you get it. If you still can't download it you must have really tight security settings and you'll just have to deal with adjusting those.