Trouble Downloading from some sites

Trouble Downloading from some sites

I am trying to download the new Microsoft Security Essentials but when I click on the Download button instead of getting the Download box popup nothing comes up. The progess bar at the bottom shows it doing something then when it reaches 100% nada. I can down load from HP (Drivers) and sites like Majorgeeks with no problem. I also have this problem on the Adobe download page when trying to get the shockwave and flash player.