I have seen this issue with IE 11. Which browser are you using? I have been able to spy the Save As popup within the same object's application model, and I have also seen cases where a different popup can't be spied within the same object's application model. In the latter case, I have had to create a separate object for the popup, and that usually works.
Try this: Manually recreate the condition that causes the message. Then, try to spy it in the application model for your object. If you are not able to spy it, try creating a new object for the "Download Allow Once" popup, with its own application model, and try to spy the popup. In either case, if you are unable to spy using HTML mode, try AA. In the new object, if you go that route, you need to identify the popup window itself as the root element, and the Allow Once button a screen an element.
Glad you got it spied. Regarding your second question, are you asking how to create a new object? Have you never created a new object before? If that's what you're looking for, do this:
1. Go into Studio and find Objects in the tree on the left.
2. Right click on the Objects folder in the tree, and select Create Object.
3. Give it a name and you've got a new object.
To make the object for the popup:
1. Name it something like "IE - Download Allow Once".
2. Click the Application Modeller button.
3. Choose "Define a new application model" and enter the application model name. (I genereally name it the same as my object.)
4. Select the application type (in your case, since you're using IE then select Browser-based application).
5. Choose whether the application will already be running or if it will be launched by your BP object. (In your case, it will already be running.)
6. Click Apply.
7. Create a new page named "Attach". Place code here that will check to see if you're attached to the popup window, and if not, attach to it.
8. Create a new page named "Allow Once". Your code here should check for the popup and provide a path for clicking Allow Once.