A few people have pointed us to the problem with Internet Explorer 9 when they cannot download activity reports in the Excel format from EmailLargeFile.Net.
The problem is that for certain web sites, specifically, those using SSL/HTTPS, the Microsoft browser blocks file downloads.
This appears to be a known issue with Internet Explorer 9.
To resolve the problem, open IE, then go to Tools\Internet Options, then under the 'Advanced' tab uncheck the box 'Do not save encrypted pages to disk'.
The problem and its resolution have been illustrated by Andy Grogan in this article Cannot Save/Open Attachments when using IE9
We are working on a permanent fix, but meanwhile please use the above workaround (which in fact enhances the security), or use Mozilla Firefox or other browsers.
UPDATE: Apparently, the issue was caused by a wildcard certificate which we purchased from Godaddy and which happen not to be accepted by some browsers, among which is Internet Explorer 9.0. While Microsoft has pushed a certificate update since, we nevertheless decided to give up Godaddy and go with Comodo certificates instead.