There are some settings in IE that can cause IE to change the name of a file being downloaded from a website. Typically if a file contains more than one dot in the name then depending on the settings, it may get changed to an underscore.
For example my-file.1.2.3.txt has more than one dot in the name. Depending on the setting it may get saved as my-file_1_2_3_txt
Microsoft has a few settings that can cause this.
Check if Enhanced Protected Mode is checked, if it is uncheck it.
Internet Options> Advanced> Security> Enable Enhanced Protected Mode*
The other setting is the MIME Sniffing.
Internet Options> Security> Internet Zone> Custom Level> Miscellaneous section> Enable MIME sniffing> enable.
Another is - Do not save encrypted pages to disk option.
Internet Options> Advanced> Security> Do not save encrypted pages to disk.
Microsoft also has a Fit IT page for helping to fix common IE problems: http://support2.microsoft.com/mats/ie_performance_and_safety/en-us