Double check you are looking in the same folder to which you are downloading. When you click the download arrow button, it should pull up a box asking "Where" you want to save it - so just be sure it's going to save where you want it to save.
If you're accessing a resource document inside of a training pathway, try clicking the name of the file to collapse it down, then click the name again to re-open it, and it should re-appear. Then try clicking the download button again.
That should resolve any issues.
If the problem persists or shows an error message, then please screenshot the issue (making the link in the URL bar at the top is visible in your screenshot) and email it to firstname.lastname@example.org
Outside of training modules themselves, you can often find the resources you're looking for in the "Read Now / Resources" section of your product page (i.e. Ascend, Invincible, or Accelerate).