What are you downloading specifically? If the download link is provided as a .zip, there's not a lot you can do about it.
They're .zip to compress the size and usually provide numerous files within - IF they were available 'normally', there would be multiple downloads, and take longer. Downloading a .zip and extracting with WinRAR or 7Zip etc is going to be noticeably faster than downloading 'normal' file.s
If it's simply a bug, downloading as .zip when they're not, that used to be a known issue with IE - perhaps it still is. No known workaround AFAIK, short of using an alternative browser.