Yoggs, when you see the message you spoke of, be patient, and wait a few seconds...a window should pop up asking you to open or save the file.
If it doesn't, you've got some other issue....make sure if you're using IE, that you've allowed popups for MyGamer. If you see a little yellow bar pop up under your the URL toolbar, then you should click it and "allow" whatever it's asking for to download from MyGamer. You might also want to play around with your privacy settings.
If none of that seems to work, I would try using a different browser, and see if that works.
