Security Alert - Your current security settings do not allow this file to be downloaded

I am trying to download an Excel 2003 spreadsheet (.xls) using IE 6 SP2

If *.domain.local is added to Trusted sites or Local intranet , when I click on the link to the spreadsheet
Security Alert - Your current security settings do not allow this file to be downloaded.

I doubled-checked Security Settings
Automatic prompting for file downloads > Enable
File Download > Enable

Any ideas?