JRE 8u65 installer doesn't work on Windows Server

FULL PRODUCT VERSION :
jre-8u65-windows-i586.exe

The serial number of the digital certificate is ‎12 f0 27 7e 0f 23 3b 39 f9 41 9b 06 e8 cd e3 52 ; size in bytes is 50,130,016.

ADDITIONAL OS VERSION INFORMATION :
Microsoft Windows [Version 6.1.7601]

aka. Windows Server 2008 R2 build 7601 service pack 1

EXTRA RELEVANT SYSTEM CONFIGURATION :
Enhanced Security Configuration is in the recommended configuration, i.e., enabled for administrators, disabled for users. I am logged in as an administrator.

A DESCRIPTION OF THE PROBLEM :
The jre-8u65-windows-i586.exe installer doesn't work on Windows 2008 R2.

The error dialog says "Content within this application coming from the website listed below is being blocked by Internet Explorer Security Configuration. file://C:\harry\jre-8u65-windows-i586.exe"

When the dialog is dismissed, the installer hangs.



STEPS TO FOLLOW TO REPRODUCE THE PROBLEM :
Run jre-8u65-windows-i586.exe in an account which has Enhanced Security Configuration enabled.

EXPECTED VERSUS ACTUAL BEHAVIOR :
EXPECTED -
I expected to see the installer dialog.
ACTUAL -
I saw an error message about ESC, and when I dismissed it the installer hung.

ERROR MESSAGES/STACK TRACES THAT OCCUR :
Content within this application coming from the website listed below is being blocked by Internet Explorer Security Configuration.

file://C:\harry\jre-8u65-windows-i586.exe

REPRODUCIBILITY :
This bug can be reproduced always.

CUSTOMER SUBMITTED WORKAROUND :
Silent mode works:

start /wait jre-8u65-windows-i586 /s REBOOT=0