Security Settings

I was on a forum and trying to dl an mp3 there that someone had posted. i right click and click save target as. then i get a pop-up (not an internet pop-up, like a system message) that says "Security Alert: your security settings do not allow you to download thsi file type."
It was just an mp3 and I dont have this trouble with any other mp3 files on websites. I checked my security settigns and downloading files was enabled. What was thsi pop-up about?

Have you checked in your restricted sites zone? Could be that the site has been placed in there.

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