export data function - pop-up does not apear

I am a user of Power BI app, just got an invite to a dashboard from the client. I do not have PowerBI installed. Ineed to get to backup data, behind the dashboard. When I click on 'Export Data' option, I am supposed to get a pop-up asking for my preferred file format. (step 3 from this link https://powerbi.microsoft.com/en-us/documentation/powerbi-service-export-to-excel/ )

Instead, my screen just grays out (can't click on anything) but the pop-up does not appear. I do not have pop-ups blocked. I tried this both in Google Chrome and IE 11 versions, same result.

What might be causing this?

Thanks!