Sometimes it is possible, you cannot download reports from sap to your local file due to some registry changes and you will get following screen.
This issue persists there were some registry changes are done un-knowingly by a program or its due to some windows restriction policy.
You can overcome this by changing security properties in SAP GUI. To do this navigate to SAPGUI Options > Security > Under Security Settings “Disable” security mode.
This will again enable the registry to download reports to your local drive.