Can’t get download started

Security options in Internet Explorer should not be set too high. Check View/Options/Security:
-  In IE 3, make sure each the safety level and set it to Medium or Low.
-  In IE 4, make sure the security level is set to Medium (or lower).
-  in IE 5/6, select Tools/Internet Options and make sure “Security” for the Internet zone is not set to “High”.