Yeah the webclient is now broken on basically all operating systems because of Oracle's update to security which prevents self-signed applications from running.
I've been trying to get around this but the only way would be to purchase a certificate from a CA for like $200; and they would probably revoke it once they found out we were using it for a private server client.
As far as the download goes, the downloader automatically detects your operating system and downloads the correct version.
If you are on OS X 10.9 Mavericks, you have to open System Preferences, open the Security pane, and change the "Allow Applications From" setting to anywhere.