Download Surgeon goes through a series of steps to download files and then saves them to the locations specified in the Options settings of the software.  By default, this location is:  

User/Documents/Download Surgeon 4/Video
User/Documents/Download Surgeon 4/Audio

During this process, DS4 may also need to convert or merge files before they are ready for you to use.  If this process is blocked by a permissions issue, or by an antivirus program, the file that was downloaded may NOT be able to be saved.   To be specific, we have seen this problem created by Norton's AV program, among others.

If you are encountering this issue, please start by doing a test and completely disabling your antivirus program (all modules) and then opening DS4 and trying again.   If you continue to have problems, please complete an Incident Support Ticket here on the Help Desk.