Downloading files using IE7

Hello,

If I try to download any file using IE7 under Vista Business (all
latest updates installed) then immediately message appears that the
file can't be located. But everything else using Internet works fine:
websites, Skype, ICQ, WindowsUpdate,...

Now I recognized two things:

1. If I'm logged on as local administrator (user "Administrator") then
it works fine. If I'm logged on to the domain then I'm also local
administrator as I'm member of group "Administrators"

2. In internet settings there is an option "Activate protected mode"
or something like this (checkbox on tab "Security". If I deactivate
that then it also works fine as domain-user

So what can be the reason for this? I have also tried it on another
Vista-machine in our network there it even works fine with
domain-logon and that option set.

Does anybody have any idea how I can get it working with that option
active?

Kind regards and thanks
Dirk