Clicking "Open directly from your browser" will open a PDF of your design in a new window. If you have a pop-up blocker enabled, it will stop your computer from opening your design. Find out how to turn off your pop-up blocker or select the "Download and Print" option instead (recommended).
Your computer's version of Adobe Reader could be another reason your PDF isn't generating. Make sure you have the most recent version of Adobe Reader. Download the newest version.