I am sorry you are having trouble with your download. I am happy to help you with this!
If you are on your computer and click “download all” it should automatically download a zip file to your computer. If you double-click that file, you will find the audio you wanted to download enclosed in that file.
Note: if you are on a mobile device, you may need to download an app that can open zip files for you on your device, or download to your computer first.
I hope this helps! If you need any further assistance do let us know. We are here to help you!