Is it your firewall or the pop up blocker. If it is your firewall do as ijack suggests so long as it is legal. If it is your popup blocker press the control key at the same time you press the download / mouse button
If you are at a work computer, ask the system administrator to open up a port for the download (assuming it's something you need for work). If it's blocked, there is usually a good reason. If you work hard to bypass your comany security, download something and end up with a virus, make sure your resume is updated.