I use Microsoft Security Essentials for protection. Just recently I have been unable to download anything. Such as an attached document from my email from a friend, or a free download off the internet. When I try to open the item, or download, a dialog box pops up and says, "Your current security settings do not allow the file to download." This has never happened before, I don't even know how to change my security settings, so I'm at a loss.

Suggest you to perform a Clean Boot and check if it helps.
Suggest you to disable Antivirus software temporarily then try downloading off the internet or an attachment and check if it helps.

Important Note: Antivirus software can help protect your computer against viruses and other security threats. In most cases, you shouldn't disable your antivirus software. If you have to temporarily disable it to install other software, you should re-enable it as soon as you're done. If you're connected to the Internet or a network while your antivirus software is disabled, your computer is vulnerable to attacks