I am struggling with what seems to be a simple problem. I cannot figure out
what is going on.

When I offer a file on my webite for download using an element with an
href attribute pointing to the file, I never had an issue with it until I
found it doesn't work with any file extension. EXE and ZIP would work but
others don't, the browser will just play dumb and tell me the site or file
does not exist. It says

"The page cannot be found. The page you are looking for might have been
removed, had its name changed, or is temporarily unavailable."

which is BS, when I change just the file extension in the HTML and the file
name to ZIP of EXE, IE will offer me to open or download the file.

Windows Exlorer DOES know the file extension of the file I cannot download
and I even tried adding iexplore.exe to the list of associated programs.
Still no luck.

What makes IE (I believe it is a client side issue although I am not
entirely sure, I am using aspx on the server side) decide I cannot download
the file?