Can't see some pop up windows

Can't see some pop up windows

I'm using IE8 / Vista 32 connecting to an IE8 / Vista 64 and having a problem.
 
Trying to install an HP printer.  Download the file from HP to the desktop.  Double click the file and nothing happens on my side.  Client sees the Windows Security box asking to run the file but I never see it and am locked out of remote control until it is answered.
 
The same thing happened on anything that would activate the clients Vista security.
 
How do I get around this?
 
        Steve