This is a valuable feature. When you connect to a site that is encrypted the data sent over the network is encrypted. Your browser has the key to decrypt and display the information. Why give someone a chance to crack the encryption. If you don't allow IE to save it to disk then it is nearly impossible for someone else to be able to get that file and use brute force to crack it.
Launch Internet Explorer.
Select the Tools from the menu bar.
Then select Internet Options... from the drop down menu.
Once the internet options has loaded click on the advanced tab.
Under security find where it says Do not save encrypted pages to disk and check it.