I read over on ZMan's blog the other day about how he was having some serious issues with downloading VS2008. The list of problems is extensive, but I'll quote a bit of it here:
You have to turn off your pop up blocker. "You will also need to allow pop-ups (at least temporarily)." - and they REALLY mean turn it off. You can't ctrl-click. You can't wait for the yellow bar and then say allow it because the site does multiple redirects and so you never get to see the page with the yellow bar. Remember that pop up blocker is ON by default in IE. You would think MS could make this a little easier in their own browser.
I rarely use IE myself (preferring Firefox), but I do know a few people on the MSDN team, so I made them aware of it. One of them posted this little workaround on ZMan's blog in response, but I think ZMan has comment moderation turned on and hasn't gotten around to approving the comment yet, so I'll put it here in case it saves someone some grief:
From your comments, it sounds like you are running IE7 on Vista. If this is the case, to temporarily bypass the pop-up blocking functionality of IE7, you need to hold down Ctrl-Alt and click the link (Ctrl-click was how IE6 behaved).
ZMan also had some issues with download location - read the rest of his post for the details. I'll reprint the response to that part here as well.
The second issue you had regarding the controlling of where downloads can be saved by an ActiveX control and the message prompts you received is a feature of IE7’s protected mode. You can adjust these settings by clicking on the “Protected Mode” text in the lower right area of IE7. Finally, to draw attention to the fact that downloads are being launched with a pop-up, our content team bolded the text on the download control to ensure it stands out a little better.