Are your study guides grayed out? If so, you will not be able to open them since that class is still not opened for you.
Have you tried to right click on the "Digital Study Guide" button? If you do this, you will get a menu where you can choose to open it in a new tab or new window. Sometimes I have to do this so I can open my study guides.
If you continue having problems contact Penn Foster so they can help you out.