And where to exactly did you download those files ?
By default, IE and other browsers download files to temporary location.
And especially for IE, that location is handled differently than other locations.
When you download, for example for .Net application, it is a different zone.
And when it is not your computer zone, you cannot execute binaries in full trust.
It is a part from security enhancements that came with .net in 1.1 I think (not sure).
And IE was enhanced with security enhanements as well.
But, as I remember now, zones where present in windows from early 95/98.
To summ up, when you download the file and run binares,everything that can execute and do something on own (like DHTML help), directly from IE without saving and reopening it, it is run in internet zone. And that content is forbidden in that zone.
I think, you have to download it to some normal location and open it through explorer, not Internet Explorer.