Usually, you would use another machine for downloading. However, if that's not an option, and you don't want to install another browser or open all security settings for Internet Explorer, you'll need to reconfigure Internet Explorer to trust some specific domains. I've noted below the domains I had to add to my trusted sites list, in order to get MSDN and Microsoft downloads to work. Add them by clicking the "cog wheel" -> "Internet Options" -> "Security" -> "Trusted Sites" -> "Sites". Then add the URL's and press "Add" for everyone.
For MSDN Subscriber Downloads
- https://auth.gfx.ms
- https://login.live.com
- https://*.sec.s-msft.com
- https://ajax.aspnetcdn.com
- https://*.microsoft.com
- http://download.msdn.microsoft.com
Microsoft downloads (www.microsoft.com)
- https://assets.onestore.ms
- https://mem.gfx.ms
- https://*.s-microsoft.com
Also ensure you have script execution enabled for trusted sites: "cog wheel" -> "Internet Options" -> "Security" -> "Trusted Sites" -> "Custom Level"
