User Download of oaj2se.exe

We are currently using R12.1.2.  When a user clicks on one of the java applet forms, it asked them to update their Java SE. When they go to update it, it pops up message of "An error occurred while copying (1) oaj2se(1)exe". Cannot copy file to destination directory.

I found a couple of documents that refer to the IE security settings. I checked his settings and the security settings are Low to Medium as well has having html added to his Trusted Sites field.

He does have IE 11, which he said was updated 2-3 months back, so I am not sure if that has anything to do with it.