“Internet explorer cannot download….
Internet explorer was not able to open this internet site. …”

All the other browsers were able to download the file with out any issues.

I googled with the error string and found several suggestions, most of them being over the protocol  “https”, but for me it was “http”. And the results suggested to make a change in IE settings . My client cannot go over his customers and say that the settings on IE should be changed to download the file.

This link suggested a solution – http://support.microsoft.com/kb/812935

This issue may occur if any one or more of the following conditions are true:

• The Do not save encrypted pages to disk check box is selected in Internet Explorer 6.0 SP1.
• The server sends the “Cache-Control: No Store” header.
• The server sends the “Cache-Control: No Cache” header.

Well, all that I have to do was to send an updated header from my page in php

header('Content-type: application/pdf');
header('Cache-Control: cache, must-revalidate');
header('Pragma: public'); 

It resolved the issue for me .