I know this is a 9 year old post, but I just had the same issue. The file was getting downloaded to a OneDrive specific folder, and OneDrive was not set up. So that same error would appear whenever I would try to download it. My solution was:

1. In your File Explorer, navigate to any local directory stored on your computer. For example, C:\Users"Your_Name".

2. Create a folder with a name like "Downloads_Local". The name doesn't matter, that was just my personal preference.

3. (This step is technically not for everyone, since your browser might ask before downloads where you want your files. But if that's not it for your case, and your files are automatically downloaded to a specific location, this step is for you.) In your web browser that you use to download files (Chrome, Firefox, Brave, etc.), find your settings, and look for a Downloads option that specifies where your files get downloaded to. Change your path to the folder you created earlier (C:\Users"Your_Name"\Downloads_Local)

4. Redownload from the website.