This could be because of the toolbars installed on the IE 7
There are pop up blockers coming inbuilt with the toolbars so i suggest you
to uninstall all the toolbars

May be you have a special diagnostic mode called not addons mode in the IE 7

Start -> All Programs -> Accessories -> System Tools -> Internet Explorer 7
(No addons )

Click on this and try to download the File using the IE 7
May be if this works you might have to go to the Manage addons tab in the
internet Options on the Programs Tab. And disable the add ons one by one and
check out which add on is causing the problem

If the problem still persist

Click on start -> Run -> regsvr32 /u urlmon.dll
This will un-register the Urlmon.dll file which is responsible for the
downloads

Then lets re-regsiter them using the command
start -> Run -> regsvr32 urlmon.dll

please do let me know whether it works

Thanks,
Anish