It seems that the new versions of Firefox have started to respect the server's security policy.

I would usually use firefox to download things on a server to avoid having to deal with IE's enhanced security.

The solution is to change the Internet zone to medium instead of high. This option, however, is disabled by default if you have "Internet Explorer Enhanced Security" installed. This option can be uninstalled from the control panel "Add/Remove Programs'" Add Remove Windows Components option.

After uninstalling, restart firefox and you should be able to download again.