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Go to START > RUN > gpedit.msc ; this will open the Group Policy Editor
Now navigate to: Local Computer Policy > Computer Configuration > Administrative Templates > Windows Components > Internet Explorer > Security Features > Restrict File Download.
There should be 3 policies that you can turn on. Select Each and read the descriptions, if you wish to enable them, double click on them and turn them to enable.
You might also wish to engage other security policies like: Restricting activex installation, protection from zone elevation etc.
HTH
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