You have to right click on the file you want and choose "download" - "standard download" (or just double left click on the file you want). After downloading, you will be prompted to choose a directory to save the file.
If you have done all these steps and you are having trouble, try changing your browser.
For me to understand your problem, I need a more specific description of your actions. What you are doing, what you are clicking on, whether the download is happening, and so on. Screenshots of your step-by-step actions would also help. You can upload them to any file sharing site and send me the link.