After downloading the Internet Explorer Cumulative Security Update for May 2007, some users have experienced an unexpected "Save File" security dialog upon launching Internet Explorer. This might occur when the "Temporary Internet Files" folder is moved to a custom location and Internet Explorer does not have appropriate access rights to the new folder location.
The Internet Explorer Team is currently investigating appropriate solutions for this user scenario. For your security, we strongly recommend that you deploy the Internet Explorer Cumulative Security Update for May 2007. If you experience this issue, we recommend implementing one of the workarounds provided in the following knowledge base article: Microsoft Knowledge Base article 937409