Hi,...
ensure you are using the default security zone settings. Tools>Internet Options, Security tab, click "Reset all zones to default"
to test.... also type your download uri's in the ie addressbar. eg. foo://domain.com/downloads/?=1234
of coarse your protocol handler must be installed on the client first before the foo protocol will work...
Client Smart Screen filtering and firewall settings may also be to play.
Regards.
Rob^_^