Internet Explorer on Windows Server (2012) is locked down. In an attempt to make the browser more secure, scripts downloaded from untrusted domains can not be executed. This makes downloading the software you need to install on the server difficult.
Usually, you would use another machine for downloading. However, if that’s not an option, and you don’t want to install another browser or open all security settings for Internet Explorer, you’ll need to reconfigure Internet Explorer to trust some specific domains. I’ve noted below the domains I had to add to my trusted sites list, in order to get MSDN and Microsoft downloads to work. Add them by clicking the “cog wheel” -> “Internet Options” -> “Security” -> “Trusted Sites” -> “Sites”. Then add the URL’s and press “Add” for everyone.
For MSDN Subscriber Downloads