For Internet Explorer browser do the following to enable file downloading.
1. Under tools select Internet options
2. Second tab select security
3. Please select the custom level at the bottom
4. Browse down to Downloads section
select enable radio button
Then apply this and try the link again. This time the window should pop out asking to save the patch to local machine.
If the above does not work, look around for any pop up blockers and disable them as well.