Dr Seven--The msdn instruction is in two parts
First
either click it or use the TAB key to set focus on it
This part of the instruction means you can either click on the message or use the TAB key to focus on the message.
The second part is
Then you click the SPACEBAR or ENTER to download the control.
It may not even be necessary to set the focus, since I suspect the message already has the focus, but it should do no harm to click on the message as long as you do not close it by clicking OK or the X.
(The "focus" means the part of the open window on which IE is placing most attention.)