Download a file

That depends on who and how it was blocked.

If Safari blocked it, try Firefox. If you have a 3rd party "security" app, uninstall it. In fact, if you have any apps that are fixers, AV, optimizers and the like you need to get rid of them all. That are notorious for causing system disruptions and are not necessary.

Are you getting a "404"-type website error message or does it appear to be caused by your browser? Do you have privacy extensions on your browsers such as uBlock Origin, Ghostery or such?

Could be that the OP has an ad / pop-up blocker installed in his Web browser. Sometimes those will block things you want, along with the things you don't, and then you'll have to turn them off (for particular sites).