Downloading a file really doesn't need to be an obstructive action, so they've ditched the old dialog box. The old version was pretty obtrusive even though immediate action isn't strictly required:
Really you only need to take action after the file is downloaded, there's no pressure. Particularly when downloading multiple files, the old IE's dialog got very annoying very quickly. In fact it's still much more annoying than Firefox and Chrome's download system, which implicitly assumes you want to save files you download.
Chrome's download bar follows a similar path of least obstruction:
Here they've made a dropdown to use secondary actions and the file is "saved" by default (Firefox does this as well). I'm surprised IE didn't go this way, but they seem to have wanted to keep "cancel" an easily accessible option (it used to be the default action in fact), almost certainly for security reasons due to the notice IE8 gives you.
Windows' use of modal dialog boxes has drastically decreased since their "peak" which was probably around windows 95/98. Modal dialogs are quite disruptive so eliminating them when unnecessary is certainly a good design goal. The notification bar might be less noticeable the first time, but this is a browser; you quickly learn how common features act, and it's likely to be one of your most used applications, so ease of use long-term is preferable over help so in-your-face it gets annoying.
It looks like you're downloading a file. Would you like help?