Prevent IE File Download Warning Or Maintain State After Warning?

I have an application whereby a user browses to an Ajax enabled page, sets up some filters, and then clicks on download report. When the user clicks on this button, they are redirected to a Download.aspx page, which builds up the report and appends it to the response as binary (the file may either be zip/pdf or excel). The issue I am having is that everytime the user goes to the page and hits the download button the warning message from IE pops up "To help protect your security internet explorer has blocked this site from download files to your computer". This is not a huge issue, but the problem is that when the user clicks this warning to accept the file, it reloads the page, and all my filters are lost, so the user has to set up all the filters to filter out the data they dont want and then re-download the file.

The interesting thing is that I thought I could track the filters using session variables, so that when the page reloads after accepting the warning message it could be restored, but IE for some reason is not loading the page in the way it should, and so the Page_Load method is never fired when IE reloads it after the user accepting the warning, so I cannot restore the filter settings on the page because I have no event to do it from!

I have searched and searched for a solution.. I have tried changing the mime headers - I am using content-disposition tag set to "attachment; filename=report.zip", I have tried changing the mime type descriptions to different things to see if I can avoid the warning but to no avail. I have tried using an iframe but couldnt quite get it to do what I want it to do, the page was still being refreshed..