Where are you saving your downloads to? Check which folder. You may not have permission to save files to that folder. If the folder is owned by the system then you would not be able to download to it. To find out, select the folder, get information & see Sharing & Permissions of that folder.
The example image I've shown is simply a rough example, showing how a folder can belong to the system, but in this case also has permissions for other users to save there. Though I do not recommend saving to the applic. folder.
