Some web browsers are set to block popup windows or any downloads, and you will have to manually override that setting to complete the download. For example, in Internet Explorer you may see a warning bar display as in this image below:
Just click on the warning bar and choose the option to allow the download of the file, then choose to save the file to disc. Once saved to your computer's desktop, you can then open the document by simply double-clicking on the icon on your desktop.