Can't Export to Excel – "Internet Explorer Cannot Download" Error Message

If you are trying to export a list of contacts to Excel, or Export a report to Excel, IE may give you the following error message:

This is due to a recent security update in IE, which can be fixed with a setting.

See the related Microsoft Article here: http://support.microsoft.com/kb/812935

Note: For Internet Explorer 9, please see the following KB article: