If you need to download a document from a course and you get a "pop up" blocker you must turn off the pop up blocker.

In IE: Click on Tools - Pop Up Blocker -  Turn off Pop Up Blocker

In Firefox: Tools - Options - Content - Uncheck "block pop up windows" 

In Chrome: Go to this site and look for "To manually allow pop-ups from a site" -  https://support.google.com/chrome/answer/95472?hl=en