I keep getting this message "Your current security settings do not allow this file to be downloaded" and I dont' know which settings I need to change.

Would you please provide me with an answer.

That is a message from the Windows OS, Firefox is not giving you this message. Your security settings are local to your computer & windows itself, so you need to look in your IE or Internet Explorer's security settings.
See:
[http://kb.mozillazine.org/Unable_to_save_or_download_files]

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