Crap. Well, I'm not fixing this one. If you're trying to download with IE and it's too stupid to do it, please, install a better browser (and ANYTHING is likely to be better than IE) and have a go at it again.
Firefox, Chrome, and Safari should all work fine, and all are free for use on Windows.
Maybe, after I get my mind wrapped around why IE alone can't figure out entity references, I'll find a way to fix it. But the way links are constructed in the page formatter, right now this is the only way to do it.