I use win98 and I've had this problem a few times too. Try copying the link into a download manager such as Getright, gozilla or Download accelerator. Sometimes when the window flashes, it means the downloaded stopped or timed out. Which usually happens on busy servers or if the file's too big.
If it seems to get to 100% and flash, try looking in the windows/temp or windows/temp internet files and see if the zip file is there, sometimes it will download to there, but give you an error.
Hope this helps.