Do you mean the initial installer, or the "MAGIX Downloads" folder and files that should be placed in your 'Documents' folder after launching the initial installer?
Please 'Read the 'Sticky' at the head for the main Sound Forge forum page and state your issue in more detail so we may help you.
@Alfonso-Cammarano, the unpacked installer files should load to "MAGIX Downloads" in your 'Documents' folder. See if they are there.. Otherwise, if files from elsewhere download normally, we can send you the unpacked files? As @SP. stated it could be an antivirus/firewall issue. Disable them temporally.