This policy setting allows you to manage whether file downloads are permitted from the zone. This option is determined by the zone of the page with the link causing the download not the zone from which the file is delivered.If you enable this policy setting files can be downloaded from the zone.If you disable this policy setting files are prevented from being downloaded from the zone. If you do not configure this policy setting files can be downloaded from the zone.
Windows Components\Internet Explorer\Internet Control Panel\Security Page\Locked-Down Intranet Zone
At least Internet Explorer 6.0 in Windows XP with Service Pack 2 or Windows Server 2003 with Service Pack 1