BulletProof Go!Zilla is not capturing all downloads from Internet Explorer.
First, make sure you have browser integration turned on. Go to the Auto Menu and toggle the Browser Integration setting to checked so it will be on.
If BulletProof Go!Zilla still will not pick up the link, then it is probably a redirected link and gozilla is unable to get control away from Internet Explorer. You will need to drag and drop the link to BulletProof Go!Zilla or use copy & paste to get the link into BulletProof Go!Zilla and it will then be able to download it as normal.