Download files in citrix

I am accessing reports from SQL Server Reporting Services in Citrix and there is a problem with the download option.

The reports render properly however when you try and save the report in Excel format a message comes up as below:

"Your current security settings do not allow this file to be downloaded"

Im not a citrix person, I just write reports. Can someone shed some light please.
Who is Participating?
It sounds more like the citrix admin is not allowing this type of activity. Please consult him.
Michael PfisterCommented:
Add the web address of the SQL reporting services to the "trusted sites" in Internet Explorer.
Michael PfisterCommented:
Extras -> Internet Settings-> Security tab -> Trusted Sites -> Add
craigdevAuthor Commented:
Apparently the site is in the trusted zone (is that the same thing?)
Michael PfisterCommented:
Yes, thats the same thing (sorry, no English IE here...).
When you view the report, does IE display "Trusted Zone" in the status bar?
In the same tab you can adjust the security level (click on Custom Level). Under "Downloads" -> "File Download" should be enabled.
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