Spybot S&D is a respected, effective, valuable tool, and your advisor serves you well in recommending it. I can't be sure from what you report, but I'm gonna take a couple guesses.
Windows XP may be asking you to confirm you wish to dowload the file - if so, you should confirm you wish to do so - see THIS
. A popup blocker, perhaps Windows XP's own or a component of a legitimate toolbar you've installed into your browser, may be preventing the download from starting; try holding down the "Control" key while clicking to start the download.
Finally, from which website are you trying to download Spybot S&D? The download is available at, among many other reliable sites, the following:
BetaNews File Forum