cannot download pdf files. Please redirect me to another group if I am in the wrong one. 1st time user.

When I am in IE and looking for info, I want to run the file.I click on run and then it ask if I want to open or save it. If i click run it briefly goes to another frame and trying to connect, then immediately goes back to the orignial box. When I click save and save it, it still does not open. Please help.  there is info I need to use/print for my job. Thanks