Internet Explorer run option for downloaded exes failes silently

When I try to run an exe from the option that appears in the download dialog instead of saving it, after it finishes downloading the exe isn't ran and the download box closes, leaving me having to redownload it and forcing to save it in order to run it.

I am posting this here, just incase someone knows anything about it.
I suspect some Windows Update caused this since it happens to me in 3 different computers, all with the latest update from Windows Update.

internet explorer --- Tools -> internet options -> advanced -> reset

also clear cookies and cache, never hurts.

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