Hello Tony, and welcome to Seven Forums.
In your attached screenshot, that it for a "File Download" dialog box instead. That is not the same as an Open File - Security Warning
dialog, and is why the tutorial didn't help for this.
If in Internet Explorer 9/10 you could set a default download location to help some, but you will always be asked where to save a file when downloading like that. Internet Explorer - Change Default Download Location
Hope this helps some,