At least I would expect that after accepting the download on the security warning that the download continues, but nothing happend. I had to click on the download photo once again.
In Firefox: click on download photo --> photo is downloaded --> 1 click
in IE8: click on download --> select option from security warning --> click once again on download --> 3 clicks and lot of mouse moves to the different screen sections. 
If I wouldn't be sure that I want to download it I wouldn't click on it, right?
Why is it IE8 the only browser that needs this security warning to be secure? I think this has no technical reasons. Must be the idea of lawyers.