When you open your IE8 click on top left the tools options which brings a drop down menu, choose internet options in that and go to privacy tab. Below, the second option you will see is pop-up-blocker which actually prevents the download of such files. Set it to low and you are done with the problem.
However, keep in mind that by setting it to low you might welcome some of the untrusted websites content to fill in your windows folder. So make a decision wisely.
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