The help file instructions you refer to apply to IE8 not IE9 (I just checked, I've got IE8 on my laptop & IE9-RTM on my new PC). But when you invoke 'Help' in IE9 you get the same instructions as IE8 concerning the Information Bar.
It seems in IE9 that particular option "Automatic prompting for file downloads" has been removed. Probably removed to ensure that the security offered by the information bar feature is always in place & can only be bypassed by using a different web-browser.
That's just a guess of course, but a plausible one.
Unless Microsoft has omitted that option in IE9 by mistake & issues a hotfix to put it right at some later date.
It seems in IE9 that particular option "Automatic prompting for file downloads" has been removed. Probably removed to ensure that the security offered by the information bar feature is always in place & can only be bypassed by using a different web-browser.
That's just a guess of course, but a plausible one.
Unless Microsoft has omitted that option in IE9 by mistake & issues a hotfix to put it right at some later date.