The reason for this issue is because other browser (Like Chrome, Firefox etc..) do not use the IE Security Settings and the application will check your security zones, but it can only do this from within Internet Explorer.
So I would suggest you using IE to download this application directly on server. By doing this, the .application file itself doesn’t actually download, instead it is run within Internet Explorer.If you’re prompted to select a program to open the application in, select Internet Explorer here also.
Make sure the options are configured like below:
Under Tools > Internet Options > Security > Internet (Zone) > Custom level...
1- .Net Framework-reliant components > Run components signed with Authenticode (Enable)
2- Downloads > File Download (Enable)
3- Security > Active Scripting (Enable)
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