When you click on a feed in the Favorites Center - Feeds tab, the File download dialog may appear rather than displaying the feed contents in Internet Explorer.

This problem may happen if the XML feed related registry settings are broken. To fix the problem, download the file fix_ie7_feed.reg located at the bottom of this page, and save to Desktop. Right-click on the downloaded file and choose Merge. The settings are now written to the registry.
Close all instances of Internet Explorer and re-open.