The "Save As" functionality uses an ActiveX control to save files to your local machine. In order for this functionality to work, the BayesFold site must be one of the "Trusted Sites" on your machine and you must click "Ok" when asked whether to allow the ActiveX control to run. If BayesFold is not in the browser's trusted zone or has otherwise not been granted the ability to write to your machine, you will be shown a dialogue box stating "ATTENTION: The browser's current security settings do not allow BayesFold to save".
Internet Explorer will not allow untrusted sites to save information to your machine. To make BayesFold one of your trusted sites, open Internet Explorer and select "Internet Options" from the "Tools" menu. Click on the "Security" tab and then on the "Trusted Sites" icon (see graphic below). Then click the "Sites" button and type http://bayes.colorado.edu/Bayes into the textbox labelled "Add this Web site to the zone". Make sure that the "Require server verification (https:) for all sites in this zone" checkbox is unchecked and then click on the "Add" button.

The web address you just typed in should now show up in the "Web sites" box. Click "Ok" to exit the Trusted Sites dialog box and then click it again to exit the Internet Options dialog.
Once BayesFold is one of your trusted sites, you will be able to save. When saving from BayesFold, you may see a message box like the one shown below, asking you whether you wish to allow the ActiveX control to interact with your computer. This is to keep malicious programs from saving information to your computer without your consent. Click "Yes" to proceed with your requested save operation; clicking "No" will cause the save to fail.
