Most likely your browser is blocking the window.
Below is the FAQ from Internet Explorer about their pop-up blocker.
Frequently asked questions about the Internet Explorer Pop-up
Blocker
Many advertisers on the Internet use pop-up windows to display their
message in a way that is hard to miss. Internet Explorer allows you
to prevent most pop-up windows from appearing over pages you want
to view while you are using the Internet.
What is a pop-up window?
Pop-up windows are small Web browser windows that
are frequently used for advertising. They often open as soon as you
navigate to a Web site, whether you want to see them or not. They
might open when you click a link or button on a Web site, and they
might open either over or under the window you wish to view.
Some pop-ups that you open by clicking a link or button
are helpful. For example, if you click an image to see a larger version,
it might open in a pop-up window. Or if you are buying concert tickets
online, you might click a link to see a seating diagram that opens
in a pop-up window.
How do I set Internet Explorer to block pop-ups?
Pop-up Blocker is on by default. You should only need
to turn it on if someone has turned it off.
Can I still see a pop-up that Internet Explorer blocked?
Yes. Follow the steps below (the Information Bar has
to be visible to do this):
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In Internet Explorer, underneath the Address Bar,
click the Information Bar when it notifies you that a pop-up window
has been blocked.
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Click Show Blocked Pop-up. Internet Explorer
might block multiple pop-ups at one time. If this happens, click
Pop-up Blocked and then click Show Blocked Pop-up.
In some cases, the Web site might display a different
pop-up than the one that was blocked, or not show a pop-up at all.
How do I see pop-ups from a specific Web site?
The default settings for the pop-up blocker allow
you to see pop-ups that are opened when you click a link or button
on a Web site. There might be some Web sites that you visit on a regular
basis, and you want to see the pop-ups displayed by those sites. Just
follow the steps below:
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Open Internet Explorer.
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On the Tools menu, point to Pop-up Blocker,
and then click Pop-up Blocker Settings.
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In the Address of Web site to allow box,
type the address (or URL) of the Web site you want to see
pop-ups from, and then click Add.
I turned on the pop-up blocker but I still see some pop-ups. Why?
There could be several reasons for this.
-
You could have software on your computer that
is launching pop-ups. To stop these pop-ups, you will have to
identify the software, then remove it or change its settings to
stop it from launching pop-ups.
-
Some windows with animated content are not blocked.
-
Internet Explorer will not block pop-ups from
Web sites that are in two Web content zones: Local intranet
or Trusted sites.
Steps to remove a site from Web content zones
that allow pop-ups.
-
-
On the Tools menu, click Internet
Options.
-
-
Click the Web content zone you want to block
pop-ups from, and then click Sites.
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If you are removing a Web site from
the Local intranet zone, click Advanced, and
then go to step 5.
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In the Web sites box, click the Web
site you want to block pop-up windows from, and then click
Remove.
-
Internet Explorer will not block pop-ups that
have been added to the list of sites you allow pop-ups from.
Steps to change which sites are allowed to
show pop-ups.
-
-
On the Tools menu, point to Pop-up
Blocker, and click Pop-up Blocker Settings.
-
In the Address of Web site to allow
box, click the Web site you want to remove from the list,
and then click Remove.
I don't want to see pop-ups, even if they are launched when I
click a link or button on a Web site. Can I set Internet Explorer
to block those also?
Yes. Follow the steps below:
-
Open Internet Explorer.
-
On the Tools menu, point to Pop-up Blocker,
and then click Pop-up Blocker Settings.
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Select the High setting in the box near
the bottom of the dialog box.
If you want to see pop-ups that are blocked when you
have this setting turned on, hold down the CTRL key while the window
opens.
How do I change the Pop-up Blocker settings?
-
Open Internet Explorer.
-
On the Tools menu, point to Pop-up Blocker,
and then click Pop-up Blocker Settings.
and that will open the same window. And then yet a third way to watch
the videos is by going to the 
and select "Save Target As..". Select where on your computer you'd like
for the file to be saved and then click save. After the file has been
downloaded, you can watch it at any time by double-clicking the file on
your computer.