I assume that the download has worked but has been put into a general downloads folder? This happens in Firefox but you can enable an "always ask me where to save files" option.
If you are using IE9 this was changed because it was felt that when users clicked on "save" that the content of the download was just dumped into a general folder. Instead they introduced the ability to right click on the download and click "save as" so that you could take control of the download and where you wanted to put it. The attached article is interesting as you will see many users have queried this function.