Hi there. This could be a couple of different problems. Your most likely not an administrator, to download firefox, contact a system administrator. If it still doesn't allow you to download, it could be parental controls, ask a parent to fix this, or the computer owner.

See http://kb.mozillazine.org/Unable_to_save_or_download_files

Go to Start>Control Panel>Internet Options>Privacy (tab) There should be a bar & it might work if you make it lower. You could go to the advanced tab too & uncheck some of the security blocking things