It's because you have to click that top bar; IE blocked it and so you have to click it to reload the page so that it loads the download file again.
Rapidshare as well as some other download sites struggle with this, the reload page makes rapidshare think sometimes that you are downloading the same file 2 times and also limits the amount you download if you don't use pro so it will list that you have received or are in progress of receiving the file and so says no to loading that same download link again and so redirects you.
You CAN turn it off in IE in the security options;
How to configure Internet Explorer to automatic download prompts on your Windows XP Service Pack 2-based computer
But IE is not a great browser to work with. I also use Firefox together with the addon Addblock plus, it's a lot more secure and user friendly.