The download was blocked several times.
I had to go to Internet Explorer and follow these instructions:
To stop the information bar from blocking file and software downloads
Click to open Internet Explorer.
Click the Tools button, and then click Internet Options.
Click the Security tab, and then click Custom level.
To turn off the Information bar for file downloads, scroll to the Downloads section of the list, and then, under Automatic prompting for file downloads, click Enable.
Click OK, click Yes to confirm that you want to make the change, and then click OK again.
Comments
And quods, re downloading in IE, we've now made a slight amendment to our web site to streamline the download sequence in IE. Hopefully, that will improve things a bit for IE users.
If you used the temporary workaround suggested by @quods and changed your security settings in IE to get the download to work, don't forget to change them back to what they were originally.