Yesterday I was helping a colleague of mine setting up her SharePoint 2007 virtual machine, and at one point she needed to make some changes in Central Administration. Problem was, when she clicked the "OK" (or "Cancel") buttons after having put in her new settings nothing happened. No page load, no error, no nothing.
The easy fix here is to turn off Internet Explorer Enhanced Security Configuration. Open Control Panel and go to Add and Remove Programs. On the left hand side click Add/Remove Windows Components. From there scroll down until you find the Internet Explorer Enhanced Security Configuration and uncheck it. Click Next and let it's do it's thing.
That fixed it.
Please take note however that if you have this problem on your production farm, don't do this. Rather you should be doing it the proper way. I assume that enabling SSL and installing a certificate would also fix the problem and would be the recommended solution. But for a development VM we don't really care enough to do that.