You clicked "Options" on the "Photo Stream" one, right? It looks something like;
[Checkbox] Photo Stream [Options Button]
Did it give you the ability to select where you wanted the photos to be saved? If you've already selected where you want the photos, give it time to download them.
This is from Apple's knowledge base:
"On a PC, your photos download to the Photo Stream download folder. By default, this folder is located at C:\Users\Apple\Pictures\Photo Stream\My Photo Stream. You can change this location by visiting Photo Stream Options in the iCloud Control Panel for Windows."
Check that folder if you did not select another location for the photos. If you still do not have any photos, there's one more thing we can do to fix it:
1. Close the entire iCloud control panel.
2. Open your task manager (ctrl+alt+del, it will either bring it up or bring up a screen where you can click task manager)
3. go to the "processes" tab, sort by name, and close any processes from apple or icloud (right click the process and hit end process)
4. Once all of the processes are closed, reopen the iCloud control panel software and see if the download begins.