Problem to open a link in IE. Can't go around IE security settings

I've made some kind of a training site and need to deploy it to some companies.
I have deployed an online version successfully but I get an issue with the offline version (run from a DVD or other local support)

In some companies, the security settings in IE are that it isn't allowed to open a documents through a link in IE in an offline site / page.
I've made a very simple example: when I click on a simple link (<a href=4_4.pdf>PDF 1</a> ) to open a pdf file, I get an error "Security Alert" stating: "Your current security settings do not allow this file to be downloaded."

If we right click on the link, Copy shortcut and paste it in start, run, it is opened fine.
Unfortunately it's something we want to avoid and changing the internet security settings would also be impossible.

Any idea on how I could make those links so that we can have those pdf file opened directly?