With every newly installed Windows Server, I run into the same problem:
This default setting is most annoying, but at least it does not take much effort to fix it. Open the settings dialog of Internet Explorer and go to the Security tab:
Click on the Custom level button to open up the long list of settings:
Scroll down until you find the section Downloads and check the radio button in front of Enable. Click on Ok to save your settings and restart Internet Explorer. Now you will be able to download Chrome or any other file you like.