Hi Toadsanime. That does sound odd.
I suspect that the cause may be the fact that the game download is an .exe file.
To elaborate, some operating systems and browsers treat .exe files as potentially harmful.
You may have to "manually allow" the download when your browser/system asks if you are sure you wish to proceed.
If you are not asked, and nothing at all seem to happen when you click "download", you may have to change a setting depending on your browser/system.
Feel free to elaborate on the issue and I'll be happy to try and help.
Thank you.