p.s. I am new to forums so I don't know the timing of how this works. Thanks.
Step 2 is when the file is downloaded. Did the file download to your system? If so, it should be your downloads directory. If it didn't download, check the security settings in Internet Settings, accessible in IE via Tools > Internet Options > Security tab, or Control Panel > All Control Panel Items > Internet Options > Security tab. If you're running anti-virus software it could be preventing the download, so you could try disabling that before downloading the file.