O servidor pode estar impedindo o armazenamento em cache do conteúdo.
De acordo com o artigo da Microsoft KB 812935 :
This issue may occur if any one or more of the following conditions are true:
- The Do not save encrypted pages to disk check box is selected in Internet Explorer.
- The server sends the "Cache-Control: No Store" header.
- The server sends the "Cache-Control: No Cache" header.
Mais abaixo:
To work around this problem, make sure that 'Do Not Save Encrypted Files' check box is not checked and that the server does not send the "Cache-Control: No Store" or the "Cache-Control: No Cache" header.
Note This method does not work if the server uses the "Cache-Control: No Cache" header.