Well, there may be some things to check. In Network and Sharing, what type of a network do you show?
Do you have a firewall and anti-virus and have you tried changing settings on that?
If you wait too long to click on the bar, the download will not occur.
Have you checked the actual download folder to see if anything shows up. Maybe write down the name of the file and search for it later.
There are lots of things on the Microsoft site to download, you might try something there since it will be safe. Let us know what you choose with a link so we can try it.
And you may need popups enabled is some situations.
Is there ever a security symbol at the bottom of the IE window and have you clicked on it for information?