To get help on this you may need to specify the type of file you are trying to open...But if you go to "Tools" on the Toolbar, then select "Internet Options" on the drop-down menu, then click on the "Security" tab you can select and change the security features to allow or disallow types of files or websites from opening.
Changing the setting there may correct the problem for you, BUT if the sites or files you wish to open represent a security risk then you may be opening up you computer for problems from Viruses.
Try also these suggestions:
Regarding Viruses, Malwarebytes for example is a free program that does not act on the majority of Viruses, per se, but rather is excellent for certain types of other Malware...there is a difference that can be described here:http://www.cisco.com/web/about/security/intelligence/virus-worm-diffs.html
("Viruses, worms, Trojans, and bots are all part of a class of software called malware...")
Try also Avast Anti-Virus (free) which is in wide use and very reputable;
and Spybot (free and which has an immunize feature and a live-protection feature;
as well as Spyware Blaster, also free, which has a immunize feature for the web browsers.
All are free or have free versions and I use all of the above, including Malwarebytes, with no software conflict and no bogging down of the computer. I use the default windows Firewall since it does as good a job as other firewalls.
CCleaner also has a Registry Clean feature that helps speed up the computer. It gets rid of files that refer to or contain direction information for software that is no longer in use (no longer installed) and so eliminates the computers need to wade through all the extra registry entries to run programs.
Be prepared to take the time to do all of this as it takes being thorough to both get rid of and maintain a secure computer.
In general, do not click on internet links you are unsure of; don't open emails - or at least the attachments - that are not from sources you know and trust; don't explore pirated software or pornography sites - all of these are the most common sources of virus and malware. Keep other software up-to-date (eg Adobe etc) with the latest security releases or updates, including Windows updates.