There can be various causes for not being able to download files including malware infection.
If using Internet Explorer...in the menu at the top go to "Tools" > "Internet Options" > "Security" tab, click "Internet Zone", then click the "Custom level" button. Look under "Downloads" and check to see if the "File Download" option is Enabled
. If not, enable it and click the Apply and Ok buttons.
Under Miscellaneous category, select Prompt (recommended) for the option "Launching applications and unsafe files"
Under Miscellaneous category, select Prompt (recommended) for the option "Launching programs and files in an IFRAME"
Internet Explorer.Disabling File Download Option in Internet Explorer
will cause the "Security Alert: Your current security settings do not allow this file to be downloaded