Firefox3 honouring MSIE security zones, downloads blocked

A few weeks ago my wife complained she couldn’t install software on her WindowsXP-laptop any more. When doubleclicking the downloaded application, she got the errormessage “This is not a valid win32 application”.
Earlier today I had the same problem when trying to install Putty, so I tried downloading the file again and noticed the following error in my FF download manager:

This download has been blocked by your Security Zone Policy

(or “deze download is geblokkeerd door uw beleid voor beveiligingszones” in Dutch)
After having frantically searched for “Security Zones” in FF own configuration-screens, I turned to Google only to find out that this setting is actually managed in the MSIE configuration UI. So to enable Firefox to download executables, I have to change MSIE-configuration (which I did)? Weird to say the least.