Are you running Firefox with the Noscript add-on? If you are, then it’s likely Noscript is blocking Microsoft’s website from beginning the download, mistakenly believing it’s malicious (whenever I have a website that won’t load certain parts I always check Noscript isn’t blocking anything first).
To check, right hand click on your mouse anywhere in the page and select ‘Noscript’. It should scroll to another menu with a list of script sites it’s blocking or are able to be blocked at that time with ‘enable’ or ‘block’ beside their name. Unfortunately half the time it’s unclear exactly which script url is needed to load a certain part of a page or allow a download/link to work etc, and which are malicious, so you have to often resort to trial and error by enabling each link individually (luckily it has a ‘temporarily enable’ option for just such a purpose.
If the download still won’t work, maybe it’s an issue with your internet connection? (But as I’m an absolute dunce when it comes to networking I have no idea).
I… dunno if I’m running that… I’ll check though. thanks for the tip!