In order to ensure your added security, Microsoft makes it possible to disable all downloads in Internet Explorer 8. Here is how to disables all file downloading in Internet Explorer 8.
Run IE8 – click Tools on the menu bar – Internet Options. Then choose ‘Security’ tab and then click ‘Custom Level’ button under the Security tab.
You should now see the Internet Zone window. Scroll down to the Downloads section and find the option titled File Download. Change this option from Enabled to Disabled. Click the OK save the settings.
Restart IE8 and check you settings by downloading a file from a reputed site. IE8 should give you a security warning and will not download the file.