Preview Payroll for Paychex needs a couple things to be in place.
You need to use Internet Explorer.
If using IE 11, you need to make sure that paychex.com and *.paychex.com are listed in compatibility mode.
You should make sure that https://paychex.com is listed in trusted sites.
You need the latest version of the Citrix receiver from here:
You may also need the latest version of Java and *may* need to add paychex.com as an exception in control panel -> Java on the security tab.