I experienced this error on a computer last week and it had me stumped for a while.
It was a complaint about a PDF file, but turned out to affect ANY file I attempted to download on that computer.
It also only affected that one user (profile).
More annoying was that all other browsers worked fine (Chrome/Firefox). The problem was specifically MSIE.
The first common suggestion is to ensure that “don’t save encrypted files to disk” is UNchecked. It almost always is.
The second common suggestion that might work is to reset all internet explorer settings.
You can start with NOT checking “delete personal settings” and if that doesn’t work, follow up by going back in and checking that option and then reboot.
Neither of these fixed worked for me. I even tried a registry fix that had me ad a registry entry to tweak MSIE.
What did work was using Farbar Recovery Scan Tool from BleepingComputer.com. A blog post (since lost, but thank you, anonymous internet hero!) referenced that solution which finally fixed it for me.
EDIT: I found the post, scroll down to user “NetCareInc” and his November 7, 2014 reply.
It references both an HKLM and an HKU key (that explains why it affects only the one user’s profile) that needed to be removed.
HKLM\SOFTWARE\Policies\Microsoft\Internet Explorer: Policy restriction
HKU\S-1-5-21-581147993-1269745106-491999697-1136\SOFTWARE\Policies\Microsoft\Internet Explorer: Policy restriction