Does not sounds like you've done anything incorrectly. If you go through the same steps, where is the file downloaded to? My Documents? Is that path local or network? How long is the path to that folder? Does the content file have any special characters in the name?
If none of these items lead to a source of the problem, you might want to check in with PTC Technical Support. They can show you how to setup debug mode in DTI and capture log files from DTI, Office, Windchill and HTTP to help diagnose the problem.