Run the saw with the saw head up and check to see if the blade runs on the wheels properly when not cutting. If the blade only pops off only after the cut begins then the band tension is too low. Most times this can be fixed by lubricating the blade tension take up screw and re-tightening the blade.
If the blade comes off the wheels even when not cutting then the "pitch" or angle of the wheels needs to be adjusted. See the operating manual for details.