Windows 2003 security issue

Hi,
I really need some help after spending hours trying to resolve the windows
2003 issue.
Have a win2k3 server used as a terminal server and I cannot download any
file from the internet or intranet.
I have tried logging in as administrator both remotely as well as locally.
It shows a security alert "Your current settings do not allow this file to
be downloaded." I have tried setting the browser internet/intranet/trusted
zones to medium-low with "allow file download","run activex controls and
plugins"..... enabled. No success.
I have even disabled Internet Explorer Enhanced Security Configuration just
to try if it works. No success.
I have edited the group policy by running gpedit.msc and enabled everything
in the Internet security settings. No success.
There is no firewall, antispam on the server & have disabled antivirus. I
think I have tried everything I know or have read about.
Is there something I am missing? Thank you.

Francis


.

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