I E Problems

I have several PC’s that are giving off a strange message.The users are trying to click on a link for forms on the www.irs.gov website.
The links on the left handside of the page are w-4,w-9,and so forth but when they click on the link the get this message “Your current security setting do not allow this file to be downloaded.The link should open up in adobe but it dosen’t.I’ve swithed out the users PC and the can access it just fine.I just want to know how to actually fix the issue for next time in stead of just swapping out the PC