Downloading/viewing file from link

On one of the password protected websites that I use, I am prompted with a
security message (in a yellow bar) when I click on a link that leads to
opening a PDF file. The message says: "To help protect your security,
Internet Explorer blocked this site from downloading files to your computer.
Click here for options ..." Once I click on the yellow bar and select
"Download File" from the download menu the file opens in Adobe. However, I
have another machine does nothing when I click a link that is supposed to
lead to that same PDF file. In other words, it does nothing - it doesn't give
me the yellow bar that allows me to tell Internet Explorer to go ahead and
download the file. What do I need to do for the machine that does nothing
when I click the link, so that it also gives me the yellow bar that I need to
continue with downloading the file?