It may take up to a minute or so to download MNG4IE. Please be patient.
After it has downloaded, you should see a security warning saying "authenticity cannot be verified" or "publisher cannot be determined". This is normal, because MNG4IE is signed with an unauthenticated certificate. You'll have to click the Yes button to install MNG4IE in this way.
(You shouldn't get into the habit of clicking through warnings like this if they pop up out of the blue. But if you intentionally visited a web site with the intent to install software, then it's probably reasonably safe to continue if the web site says it is.)
When you see a bouncing ball below, installation is complete.