I just resolved a problem where I could not download or install Windows sidebar gadgets in Windows 7. The behavior occurred as I entered the gallery and clicked Download. The popup appeared for the unverified publisher, but when I clicked Install nothing happened. There was no error or any other indication that it failed -- other than the gadget not being installed.
I couldn't find anything on the Internet about this problem that was remotely helpful. But, I narrowed it down to InPrivate Filtering. After I disabled InPrivate Filtering I was able to install the gadget.
This may or may not be a problem for most users with InPrivate Filtering. I have added a Registry key value so that my Internet Explorer sessions always start with InPrivate Filtering (by default you have to turn it on for each browser session).