Describe the download action, not the private contents of the file. Include the service, approximate local time, browser or app version, file type and rough size, and the visible error.
Try one harmless second file if permitted. If only one file fails, access or corruption may be involved; if every file fails, the feature or network is more suspect. Check whether the file appeared in the downloads folder before repeatedly clicking, especially when exports can be queued.
Does another file download successfully?