The Zotero Connector for Firefox? That's just a standard Firefox extension, so any problem there would be with your Firefox installation.

You can always right-click and download the XPI to disk (in Firefox or another browser) and then drag it into the Firefox add-ons pane.

It's just a file -- if you can't download it, that'd be an issue on your computer, possibly security software, though that seems like an odd thing to try to block.