As you are calibrating yaw - click the little circle that you see is corresponding to the yaw stick, while holding the stick in the position shown on screen.
The circle should then should then highlight, saying "yaw".
When calibrating the other sticks, you can just press OK as usual.
(It shouldn't actually matter whether you click the little circle, or click OK, just as long as you are holding the stick fully in the direction shown on screen).
If the yaw movement is still not correct when you come to the trim settings screen you can adjust it using the sliders.
I'm sure it's not a problem with the download. Make sure you don't have any other controllers/gamepads/drawing tablets connected at the same time as that might cause a conflict.