Make sure you have nothing blocking the trainer, it may well be that perhaps your Anti Virus program is picking it up as a virus which is a false positive and keeping it locked from being used.
If that is the case, go into your AV options and look for the exclusions (or similar) settings and see if you can set a folder to be excluded from scans so you can download all of CH trainers to there, or simply exclude the file you just downloaded from scanning and remove any entry the AV made by previously scanning it, that should hopefully allow it to be opened.
If you meant it won't download at all, try again when you log on, it may have been a hiccup by the server when you tried, if it continues to give problems try a different browser.
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