The setting lives in Internet Explorer: Tools -> Internet Options -> Security. Click "Custom level". About half-way through the very long list in this dialog, under "Miscellaneous", there is a setting like "Launching applications and unsafe files" (I have a Polish version of Windows, not entirely sure about the Englisyh labels). By default this is set to Prompt, so you can change it to "Enable".
Caveat: I don't usually download files through IE, but check to make sure that setting this option to Enable will *not* also mean ie will automatically execute any .exe you click on. (It shouldn't, but check to be safe.)