Microsoft based browsers have been known to block the ESEA Client download. Try using Google Chrome to download the ESEA Client.
This error can also be caused by anti-virus programs interfering with the download. It is reading the download as a false-positive virus, and will not allow it to finish.
In order to download ESEA Client, you will need to temporarily disable your anti-virus and try again. If all else fails, a temporary uninstall of the anti-virus may be necessary.