When will downloads start

I know you guys get tons of n00b questions everyday but here is another one. How exactly do I get the downloads to start. I mean I am connected to the servers and everything I clicked on the file to download and now the file is just sitting there. No progress is being made on the file. Do I just have to sit and wait for a very long time??? If so thats fine but I dont want to kill the transfer early. It just says that the status is unknown right now. Thanks all.