On Windows Server 2008, I was trying to get Java installed, but Internet Explorer kept saying that I was unable to download the file because of my security settings.  My options for changing the security zone settings were grayed out, and adding the Java website to my trusted sites did not work.  I investigated whether group policies were blocking my ability to edit the zone settings, but it turned out that there were no IE-related group policies.  It turned out that I had to run IE as an administrator (right-click and select “run as administrator”) to get access to the zone settings.