I am not able to download from IE8 and the message as described in the image above pops up.
I've searched a lot and learnt that it's something to do with the Hkey values, but not exactly found a solution pertinent to this problem.
It means the required action is disabled via group policy.
I assume it's running various executables that is disabled, not the downloading.
Try this FixIt from Microsoft, i know it points to having a problem within outlook but it's a reg key fix linked to opening things from websites (hyperlinks).