Do you have any virus scanner that could be blocking the download?
Do you have UAC enabled and do you get a prompt?
Can you do a search of your system drive to see if the cab file possibly downloaded but couldn't run? On my system it downloaded to this location: C:\Users\username\AppData\Local\Temp\Temporary Internet Files\Content.IE5\J3U7FW8K\AltirisAgentInstBootstrap.cab
Is your NS using the FQDN and in your trusted sites list?
There is a Code Signing cert issued by VeriSign with the cab but I'm guessing if you didn't trust that root you'd be having much worse issues.