Welcome to TS, edub!
With the type of download you refer to ("application/mac-binhex40") you will need Stuffit Expander. It's possible that for whatever reason, your Mac is not associating this file with Stuffit or that the version of Stuffit that you have is older than the one required (though I think one gets a different message in that situation).
Have a look in your IE preferences - go to Receiving Files->File Helpers and scroll through the list of file types. You should come to one called "BinHex" and it should say "Stuffit Expander" just underneath. If that's not there, then this is the source of the problem. Then you need to look to make sure that you do indeed have a version of Stuffit Expander.
Let us know the results of this bit of investigation, and then we can help you figure out what to do next in order to fix the problem.