How do I get this to actually work?

How do I get this to actually work? Sometimes there are applications that I would like to download.  When trying to do so, I get the following line at the top on my screen:  "to protect your security, your web browser blocked this site from downloading files to your computer. Click here for options.  I am never able to click download file and have it it work.  So there are many things that I would like to download, but my browser will not allow me to do so.  Please help!!