Unable to save XML

I have a web app that generates XML output, specifically it opens a new window in IE which points
to an ASP page.  The ASP page calls a component which writes XML to the client browser through
IIS.  This works fine.  The XML is displayed correctly in Internet Explorer.

Here's the problem:
Using my own machine for IE and IIS (which hosts the ASP), I can view source and save the XML
document.  If I use different machines for IE and IIS (I've tried several), then I can not view
the source, and I can not save the XML document.  
I can bring up Save As..., type in a file, click to save, and there is no error message, but no
file is saved either.

Can anyone explain this?  What on earth am I missing?

Thanks in advance,
Peter

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