GPO won't allow reading of internet PDF's

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I have a great GPO, that allows employees to read PDFs, DOCs, XLS from my
trusted web site. But users want to be able to read PDF's and word docs and
white papers from other internet sites. Where do I edit the GPO to give users
the right to open / save PDFs and other documents from the internet, without
giving them the rights to down load other content?
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