if you have a pop blocker, turn it off for the time being. If you have google toolbar this could also be blocking it so disable that aswell by clicking the "(number) blocked"icon. IE7's own blocker could be stopping it aswell but if it does a new bar will emerge under your toobar asking if you want to allow the active x control to install, you have to say yes.
Before downloading and installing, try uninstalling the old copy first. Before you are allowed to download, a grey line will appear at the top of your screen and you will be asked to download an Active X first. Say YES to this. When you are offered the download, you will have to UN TICK the option to include a Yahoo tool bar if you don't want to have this invasive rubbish on your computer.