You're right and you're wrong. It's actually a misconfiguration on your HTTP server. It sends, amongst others, the following headers:

Content-Type: text/plain
Content-Encoding: gzip

This tells the client that the data it wants is the plain text that's encoded within the gzip, but it has no other filename than the one it requested. Your web server is probably assuming that it should use Content-Encoding because of the filename instead of setting a correct Content-Type (application/x-gzip?). The bug that seems to exist in IE is that it should be showing the kernel in the browser as plain text instead of saving it. It has been told that it's plain text in the Content-Type, and it knows how to unencode it. Weird.