This option might have been disabled when you installed your virus protection software (I am hoping you don't surf without a condom) or pop-up blocker.
These pop up boxes are usually either an activeX application or a pop-up window. So any of these programs could have changed your security settings.
Try disabling pop-up blocker (if installed) and see what happens.
Also go to the site that should pop-up and book mark it. Change your security settings to Medium-Low. Close IExplorer and open it again...settings only change when you completely close out of ALL IExplorer windows.
If that doesn't work, then change your privacy setting to Medium or Low and exit IExplorer and try it again.
If one of these work then you know what is causing the problem. Don't forget to set your setting back to at least medium in security or run your virus protection setup again.
Hope this helps.
I wish I could be more specific on what settings control this download pop-up box exactly.