The only other thing I can think of is that Internet Explorer has some sort of problem. I have similar problems with different websites, involving downloading. Can't do it on IE, but no problem on Firefox. I suggest trying a different browser, if possible. If none of the browser's work, it's either an ISP problem or Window's security.
You might also make sure you're trying to access it with a User profile having Administrator priveleges. I can't think of why that should matter, but it's something to try.