User Configuration\Administrative Templates\Windows Components\Internet Explorer\Browser menus
Prevents users from saving a program or file that Internet Explorer has downloaded to the hard disk.
If you enable this policy, users cannot save a program to disk by clicking the Save This Program to Disk command while attempting to download a file. The file will not be downloaded and users will be informed that the command is not available.
If you disable this policy or do not configure it, users can download programs from their browsers.