I'm not on Leopard yet, so here are just some ideas to check.

There are different ways to try to get a download started. Select one, hit enter, or double-click, or control click and choose "download" Perhaps one of those methods is "frozen" so try one of the others.

Another idea is to download from a known reliable source, in case you are connected to spam hosts. I usually test with the free and legal files from + MagnetMix.com +: The Source for Good Content

Another idea is to check the preferences to see if content filtering is active or not.