Proper answer:
As David and DN have said, the reason why IE is trying to download this is that it doesn't recognise application/xhtml+xml. Without a recognised content-type, it will normally fall back on extension, but as this URL contains no extension, it falls back to downloading as "Unknown File Type".
Old answer for posterity
That's a link to m.twitter.com, the mobile version. The data is being served as xhtml+xml
, so I don't know why IE would try to download it.
Edit: There is no file extension (theusername isn't a directory with an index.htm in it, it's just a file). I think IE works out content type by extension, so if a file has no extension its type is "Unknown File Type", and it prompts to download.