Can't download to my EC2 windows instance through Internet Explorer

Hi,

Just launched a new EC2 windows instance and IE doesn't let me download program (I want to install on it) I tried to change security setting in IE but nothing ! I also tried to loosing up system security the time I do it (took of firewall and other stuff). Even rebooting Windows and after the instance (!? don't know if was necessary).

The only connection I'm allowed to is with RDP otherwise I would have done with scp/ssh.

Anyone could help me on how to change IE behavior or to find another way to download (I'm not a windows expert though