This flummoxed me for a bit, so I figured I post it. If you wire the event up to an onClick handler as the docs suggest:

<a href="app.application" onClick="gaq.push(['trackEvent', 'ClickOnce', 
'Download']);"
>Play</a>

Your event will never fire. The trick is to add the target attribute and set it to blank which opens a new tab in the browser and immediately closes it:

<a href="app.application" target="blank" onClick="gaq.push(['trackEvent', 'ClickOnce',
'Download']);">Play</a>