The error was:
Internet Explorer was not able to open this Internet site. The requested site is either unavailable or cannot be found. Please try again later.
After some fiddling in the Internet Options, I have resolved the issue.
Internet Options -> Security -> Custom Level -> Set FILE DOWNLOAD to ENABLE.
This presents the Open/Save dialog we are all accustomed to seeing. Prior to this, we were only getting the yellow download bar at the top of the window.