Which browser are you using? I would suggest to try a browser like Firefox or Google Chrome. Did you download the Adobe Air from here http://get.adobe.com/air/?
and download this http://www.photoshop.com/misc/membership-faq#downloader
You should see this following screen when you launch the Adobe Media Downloader. Then select the folder location to download your photos to.
Try these steps
1. Close Downloader.
2. Delete this folder
WIN : C:\Users\<Username>\AppData\Roaming\com.adobe.px.Downloader.<some-number>
MAC : /users/<username>/Library/Preferences/com.adobe.px.Downloader.<some-number>
3. re launch Downloader.
Things should work correctly now.