Internet Explorer was not able to open this internet site downloading a document from secure website

When attempting to download a pdf file from a secure website in our case the wonderful people at HMRC we received the error message Internet Explorer was not able to open this internet site. The requested site is either unavailable or cannot be found. Please try again.

To cut a very long story short it turned out to be a tick box within internet explorer.

SOLUTION:
Internet Explorer-> Tools menu-> Internet Options-> Advanced tab
Go to the Security section all the way at the bottom.
Tick  “Do not save encrypted pages to disk”
Close all Internet Explorer windows
Start IE and download the file again

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