Downloading works by providing you access to files stored on a web server. When you click download the file is sent to your computer from the server, much like receiving an email and opening it to read. The larger the file the longer it takes even with a fast connection it can take a few minutes to receive. the files are usually compressed (zipped) and when the files has finished, simply unzip the file to receive open it. When download it is a good rule of thumb to scan the file with your virus software before unzipping.