Normally there should open a download dialog as you need to install some software for the dlp-console.
I guess you use DLP 9.3? If the dialog doesn´t appear you might find it in the direct download from McAfee.
For 9.4 i heared that it is fully implemented into ePO but didn´t give it a try so far.
iam using DLP 9.3 only and i installed the dlp management tool also but it not open.I also tried to uninstall and reinstall but same issue is happening.
This is issue with browser settings.
If you using IE,try following;
Go to Tool>internet options>Security.
Hit Trusted site then Site.
Add https://localhost as trusted site.