If a web page has a link to a pdf file that goes to the file via code I can't save the file by clicking on the floppy icon on the toolbar when the pdf file opens in Internet Explorer. This is only a problem in Windows Vista and Windows 7. If I use Windows XP and follow the same link, the Save button works. There is no error message, just nothing happens. Since the file is retrieved using scripting, right clicking the link and clicking Save Target As won't work. Since it works in WinXP, the file is not coded to not allow the save. I suspect it has something to do with the different way Windows Vista & 7 handle the Temporary Internet Files folder or the way Vista & 7 handle scripted links in web pages.
You can add my name to the list. I just loaded a new Win 7 machine with the exact problem you describe. Maybe someone will give us an answer.