Are you trying to download it to your desktop or a device like an iPad or phone?
If it's a desktop, you will need to first install Adobe Digital Editions (which is a different program than Adobe Reader that you would use for normal PDFs). You can download that here: http://www.adobe.com/solutions/ebook/digital-editions/download.html
If it's for an iPad or smart phone (Apple or Android), you can download the BlueFire Reader app from the app store. Once you've downloaded the app, you will need to search our catalog for the book in the device's default browser (such as Safari for iPads) and not another browser like Chrome or Firefox. For some reason the download link won't trigger the BlueFire app from those browsers.