It was an issue with IE9 security settings.
"To download files, Internet Explorer must create a cache or temporary file. In Internet Explorer 9, if the file is delivered over HTTPS, and any response headers are set to prevent caching, and
if the Do not save encrypted pages to disk option is set, a cache file is not created. Therefore, the download fails."
It would have been helpful if IE9 told me why it wouldn't download instead of just refusing to do it. At least I learned something new today.
