Hi HomerJ,
Putting the site into the Trusted Zones can allow the client to install without issues.
Per Microsoft on Internet Protected Mode:
Configuring Protected Mode
Protected Mode can be configured in Internet Explorer's Internet Options dialog. To configure Protected Mode, click the Security tab, select a Web content zone, and then change the Enable Protected Mode check box. By default, Protected Mode is enabled for the Internet, Intranet, and Restricted Sites zones. To verify that Internet Explorer is running in Protected mode, look for the words ''Protected Mode: On'' next to the Web content zone displayed in Internet Explorer's status bar.
As you see the Trusted Zones by default doesn't have protected mode enabled.
This shows the need to add to the trusted zones as it allows the client to be installed by loosening the restrictions that certain other zones can place on the files being installed..
Hope this helps,
Dan