Enable downloads and disable IE ESC on Windows Server 2008 (and R2)?
Go to Server Manager > Configure IE ESC (under Security Information) and disable Internet Explorer Enhanced Configuration for administrators.
Alternatively (and probably safer) is to either download from a workstation and save it to a share on the server or add the site in question to the trusted sites temporarily/permanently, depending on how often you'll be returning.
I generally proxy Web surfing on my servers with a set whitelist for various updates (like WSUS, Java, or whatever else is required).
