Hi,
In the attached file are my IE8 settings, you will notice that I have some 'normal' allow registry keys changed to Read Only, this to lock the security settings and to lock the default download directory of IE8. Locking the 'Download Directory' is only nessecary when you apply this Registry tweak, see
http://www.liutilities.com/products/.../tweaks/10162/
(those keys mentioned in this link, to remove the save as options, are protected by general GeSWall settings, since they are not explitely mentioned in the IE console part)
You also have to add a value (e.g. D:\Downloads or your preferred directory) in the Download Directory value in HKU
Be sure to save your existing IE8 settings (export to text file), before manually changing these IE8 console settings). Strangely GW has an export, but no import function (

)
Above comments refere to the red boxed lines. The blue lines you can omit when not buying Music from on-line shops or NOT having AVG 8 as your AntiVirus (linkscanner exploit shield IE plug-in needs this),
Regards Kees