When the download web page appears, you have to choose a server on the planet by clicking on its link.  A few seconds after the next web page appears, the downloading of the file normally begins.  If it is not the case, maybe the selected server is simply not available (down for maintenance) or maybe the downloading of the file has been blocked by your Internet Browser Security options.  In first case, try another server or retry the same later.  In second case, check your Internet Browser Security options.

Note :  The Microsoft SP2 Update for Windows XP now set the default Security options of Internet Explorer to block everything that may harm your computer.  That is an excellent feature.  When something is blocked, the Information bar is displayed at top just below the Address bar.

To enable the blocked downloading, simply make a left or right click on the Information bar, then in the popup menu, select Download File...