Thanks Dilmah. I'm using Windows XP, Mozilla 4.0, no anti-virus programs, only the Google toolbar which has a pop-up blocker (and it makes no difference if it's on or off - still nothing happening when I click 'Install').
Like I said, the exact same thing happens on MSN Messenger - it says to 'click here' to install the latest version, but nothing ever happens, and it asks me every time I log in (same as what's happening here).
I have no idea what the problem is, but I'm quite sure it's on my end not yours - so any help you post is most appreciated as I know it's not your responsibility - so thanks in advance.