Reports not downloading

Sorry bear with me, posting on behalf of my boss.

We are having an issue where amazon allows us to hit the download button on reports, usually they go straight to our downloads. But they are not, they are not going any where on the computer. I have done extensive searches of every single folder. They just are not there. Once you hit the button nothing happens.

Other websites downloads are working fine so I do not believe it to be a computer issue. Any ideas?