Restrict the restriction of "prohibit downloading files"

When you click "Download Link" on the Internet, the "Security Warning" dialog box "The current security settings do not allow downloading of this file" pops up. I believe that many people have encountered such things, what should I do at this time? First click on the menu "Tools → Internet Options" in the IE browser, select the "Security" tab in the "Internet Properties" dialog box, in the "Region" Select "Custom Level" in the "Security Level", pop-up "Security Settings" dialog box, pull down the scroll bar, find the "Download" section, select "File Download" and "Font Download" as "Enable", then select "OK", in the pop-up dialog box, "Change the security zone settings" select "Yes", then select "OK".