I forgot your third. In group policy, same as above except under Security rather than Connection, then Security Zones and Content Ratings. Click button to "Import the current security zones and privacy settings" and then modify setting. In the modify settings, you can modify the security for Internet or Local Intranet to disable file downloads or what not. But if you enable this, you'll need to make sure that you've got all the other settings that end users may need to run what they need to on the internet, because that is going to push out everything configured, not just your download setting. Again, downloads can be controlled through proxy software as well. Also, if you are denying all internet access, you don't need to also deny downloads.