So you have just set up a new Server 2012 (R2) server, and gone to download that fine you need for the next step, only to be shown a nasty message stating that you cannot do that, as file downloads have been disabled.
Well the good thing to know is that its an easy fix, simply open up “Internet Options” go to the “Security” tab, select the “Internet” zone and Select the “Custom level…” button
This opens up a “Security Settings – Internet Zone” window. In the main section of the windows scroll down to where it says “Downloads”, and the the subsection of “File download” (as of this writing the setting is just above half way down the options list) and simply change it from “Disable” to “Enable”. Click ok and drop back to the main screen and retry that download again
If you get a warning, as shown below, simply OK it and continue on