Security Settings Won't Let To Download

When I try to download perfectly safe stuff, I get a message saying that my security settings will not allow me download the file.I have followed advice about changing the settings etc, however when I follow any of the steps, it either won't let me perform the actions OR, the settings just bounce back to what they were before.I no longer have an Active-X bar along the top to help with downloading.I read that if these don't work:Try these two methods for changing the security..Try these two methods for changing the security settings.
Method #1
1. To lower the security setting in Internet Explorer:
2. In the browser's Tools menu, select Internet Options.
3. In the Internet Options dialog box, click the Security tab.
4. In the "Select a Web content zone" control, click the Internet icon.
5. In the "Security level for this zone" area, reset security to Medium.
6. Click OK.
Method #2
1. Select Tools Menu from Tool Bar
2. Select Internet Options
3. Select Security tab
4. Select Custom Level button
5. Scroll down to Downloads
6. Under File Downloads - If the File Downloads is not disabled you will not be able to download files.
To enable file downloads check the enable option. My only other option is mucking around with registry keys, which being a puter dunce and haven't a clue about anything like that, I'm not going to attempt.Is there ANYTHING else I can try (nice easy steps) that it going to allow me download stuff that I want from the internet.