One thing that trips some people up is that they've downloaded really lousy "pop up blockers". Good "pop up blockers" won't interfere with these things, bad ones will.
However, one thing that's pretty universal with "pop up blockers" is to hold down the SHIFT key when you click on things like the "Select Files" button above.
Holding down the SHIFT key tells the pop-up blocker that you really want to open the window.
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