Not able to download files over HTTPS

Today I came across somewhat annoying bug. On one of the sites I maintain, after enabling HTTPS users could not download files anymore. The annoying part was that I could. With all the browsers. They could not with IE9. Turned out that the issue was only on the internal network only over HTTPS: the same file was downloaded from the same address fine over HTTP, but when you go HTTPS on the same url, this happened:

Unable to download from HTTPS

Turned out that some domain policy was prohibiting to store encrypted files during browsing. IE has this setting Do not save encrypted pages to disk (Inside Tools / Internet Options > Advanced) that caused other people to complain. However in my situation this was not turned on which was strange. I decided to give a recommended trick with headers a go and it worked:

I have modified Cache-Control header to be no-store, no-cache and the problem went away. Strange!