KYST, Wothout knowing what your setup is, I'll take a few guesses. (A)Try right clicking on the blue thingy (from memory it says 'click here to play') which will give you the option of saving the file to disc. (e.g. Save Target As - or similar). Save to a suitable file location, and then using My Computer or File Manager double (B) click on the new file name.

If A doesn't work you've got a download problem.
If B doesn't work you've got a local problem.

If you're still around in a couple of hours I'll check your progress, otherwise I'm sure that somone ecan give you some clues later on.

Regards
John