Internet Explorer Blocked download file

I use jquery post function to go to server and bring the link to file download.

When the func returns the link, I try to open a popup or iframe with link source, to popup save/open file window

I tried this

window.open(data.link,'Download','top=20,width=3,height=3,left=20');

and

document.getElementById('download').src=data.link;

It works in Firefox , but in Internet Explorer it shows the message : “To Help Protect Your Security, Internet Explorer Blocked..”

How do I get over this?

EDIT:
If I do it from direct link from the page it does not show me this message

Internet Explorer Blocked download file