Why are you posting in General Windows Support & not the General Mac OSX section? Lucky I saw your question because not many helpers on here know about Mac OSX.

Invalid on osx would suggest permissions problem. Such as if you were trying to save to the system folder or Library.

(1) Try deleting your LW Preferences folder whilst LW is closed; instructions here: Deleting LW Preferences folder in OSX

(2) Set the download location to something like: /Users/your_username/LW Downloads __ or __ /Users/your_username/Shared

Personally I save them to a separate drive/partition.