Plugin LaunchApp, Access is denied

Hey, guys. I would like some help with this..

"On a Vista machine, launch IE7 and attempt to load the Authorware Web
Player from the Adobe downloads site:
http://www.adobe.com/shockwave/download/index.cgi?P1_Prod_Version=ShockwaveAuthorware

Expected results:
Once the Authorware Web Player is installed the content loads.

Actual results:
A "Plugin LaunchApp, Access is denied" error message is presented and the
Authorware web player hangs at "Loading Files..." (with a full grey progress
bar below).

Workaround:
Adding the website from which the content is being served as a Trusted Site
in IE7 can allow the content to run."

I'm getting this error, and so I'm unable to do my homework. How do I add the website as a 'Trusted Site'?

I did what it says, but it still doesn't work. I added the site to Trusted Sites and restarted IE, but no difference. Anyone know what to do?

I'd really appreciate it if you helped me to get things working!