Please ensure the latest Gedcom skin is installed correctly, currently version
2014.09.26. If you have done this then the folder in which you unzipped it should appear in the drop-down list of Report Skins for you to select and the version number and
2014.09.26 will appear in the Report Log section.
The later versions of Export to Gedcom skin use mshta.exe, installed as part of IE, to run the dialogue as an HTA and no longer use an HTML dialogue under Internet Explorer itself. I am unaware of the problem you have occurring with the HTA dialogue.