Hi,
File>Properties will show you which IE security zone a website is mapped to.
Tools>Internet Options>Security tab, will show you what the settings for downloaded files are for that security zone/domain.
Server versions of Windows running IE use an Enhanced security setting for the default security zone settings.... only domains that are mapped to the Intranet or Trusted sites zone allow downloads of 'safe' file types without prompt.
It is unwise to use server versions of windows to casually browse the web and download potentially unsafe files. You should not alter the IE Security zone settings for the Internet or Trusted sites zones.
You could add the download domain to your server's IE's Trusted sites list...
use a *(star) notation for the domain eg. *.microsoft.com not
https://microsoft.com
It sounds like you are trying to implement an Intranet CDN? Can you give some more details?... particuarly the type of file (extension) and (if publicly accessible) a sample download url?
Regards.
Rob^_^