If you click a link to download a file in Internet Explorer and the SAVE SAVE AS dialog does not appear, you may find that disabling PROTECTED MODE solves the issue. How to Turn Off Protected Mode:
If you are wondering what Internet Explorer Protected Mode does, Microsoft explains it this way:
…warning you when webpages try to install software, Internet Explorer will warn you when webpages try to run certain software programs. You are warned when a software program would run outside of Internet Explorer and outside of protected mode, because that program might have more access to your computer than you prefer. This usually happens when a website is using an add-on to run a software program on your computer…
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