Please try the below settings :
Internet Explorer>Security Options>Tools>Internet Options> Security> Custom Level
1. Automatic Prompt for File Download- Should be Enable
2. File Download-Should be Enable.
change the report output to PDF or xml and apply settings.
I don't think it is possible to give user the download dialog box.
With IE settings it will be applicable for other non oracle applications too.
What you can do (we have done that), is either mail the report output to user who submitted it OR save the report output on the predefined place on the network.
you will need to write shell scripts for this.