I got solution from below link.
Even IT support on (a multi national) company that I'm working,
didn't know this solution.
Hope this info useful.
Irwan.K
IE9 won't download files
"..
This answer only relates to people who are having trouble downloading non-IE files
over SSL (
https://), such as .exe, .pdf, .msi etc.
Go to Internet Options in IE9 (Tools > Internet Options) or click the cog in the top right
of the Browser and go to Internet Options.
1. Choose the Advanced Tab
2. Scroll down to Security
3. Un-check Do not save encrypted pages to disk
You should now be able to download the file that IE9 won't download.
.."