We work with SharePoint 2010 and I experienced the same problems with SharePoint Designer 2010 (SPD). I didn't open the site or the page but it was installed. This is caused by two problems.
First being the fact that IE doesn't recognize that SPD is installed, IE11 in this case. In my case it was caused by an update to Office 2013, apparently a series of Add-ons was changed. A simple reinstall of SPD fixed this problem.
Because IE doesn't see SPD it redirects you to the download page via a hard-coded link which can be found in core.js files of your SharePoint intallation. This link goes to this new download link. This link returns a header with the following setting: X-Frame-Options:SAMEORIGIN and thus is not allowed to be shown in an iFrame. Download and install SPD manually.