ActiveX System.Security.SecurityException when downloading a file

In my ActiveX control, I download a ZIP file in the background, however, when I try and use it in Internet Explorer, .NET raises a security exception.

I looked in the Internet Explorer settings and there is no such setting to change this.  More to the point, they seem to be able to do it successfully at

Is there anyway to get around the security exception?
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hach-queAuthor Commented:
I tested that method, but unfortuantely, it seems Internet Explorer just completely ignores the settings.  I even used the .NET 1.1 Configuration Wizard - Trust an assembly, and set it to trust assemblies with the same hash and Internet Explorer still acted as if nothing changed.

I'm using Internet Explorer 7.
hach-queAuthor Commented:
I recompiled my project using Visual Studio 2005 Express, and I managed to get it to work by using the Site category:


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