It looks like you're doing well, good job! Scripting popup menus is a little different than scripting regular menus. You must actually click a popup button to reveal its menu before attempting to click one of its items.
So in your case, just insert "click" on a line between "tell pop up button 1" and "tell menu 1." I'm just working on theory here, there may be something else preventing the popup from working.
Edit I forgot one other thing, it looks like your nesting is off. There may be an issue with telling the menu bar to tell something to a window. You should probably "end tell" the blocks so that the tell menubar bit is completely separate from the tell window bit. Something like this should work:
click here to
open this script in your editor
<pre style="font-family: 'Monaco', 'Courier New', Courier, monospace; overflow:auto; color: #222; background: #DDD; padding: 0.2em; font-size: 10px; width:400px">tell application "System Events" to tell process "Quicken 2006"
tell menu bar 1
tell menu "Online" of menu bar item "Online"
click menu item "Download Transactions…"
end tell
end tell
tell window "Download Transactions"
tell pop up button 1
click
click menu item 1 of menu 1
end tell
end tell
end tell</pre>