http://download.microsoft.com/download/3/8/8/38889dc1-848c-4bf2-8335-86c573ad86d9/IE7-WindowsXP-x86-enu.exe

should pop up a window asking if you want to save the file

Or if you want to see where the above came from

http://www.microsoft.com/downloads/details.aspx?familyid=9ae91ebe-3385-447c-8a30-081805b2f90b&displaylang=en

Or better yet, download Firefox and have a safer browser

http://www.mozilla.com/en-US/firefox/firefox.html