If you are managing or administering a newly built Windows Server 2012 machine and receive a message that says “Your current security settings do not allow this file to be downloaded”, don’t panic. By default, Windows Server 2012 does not allow EXE files to be downloaded via Internet Explorer 11.
To change the File Download settings, do the following:
I am going to walk you through how to use Exchange Management Shell to move the database from the C drive to the D drive.
1. Open Internet Explorer
2. Tools and then Options
3. on the Security tab
4. Select the Internet Zone
5. on the Custom Level and then scroll down to Download
6. Make sure to enable File Download
7. Apply and Ok
8. Now restart Internet Explorer and try your download again.