This time there is no run option after you download the file..only Open or Save options
I would guess the word "Open" replaces the word "Run."
IE probably updated itself and changed its terminology.
and if you go ahead and click on the file after downloaded it then goes to a window that asks what you want to open it with and shows options.
IE often strips off the .exe part of .exe files, so Windows doesn't know how you want to open it. Try renaming the file by adding .exe on the end before running it.