It's your AV/security program blocking the download. Sometimes an AV will not show any sort of threat dialog, and simply cancel the download which I believe is what is happening in your case. You should be able to either temporarily disable your AV (real-time scanner, web guard, etc) or add an exception for the file/website.
You might also find that the file has actually downloaded, but has been immediately moved to your AV's quarantine. In this case you may be able to go into that and restore it to somewhere like the desktop whilst adding an exclusion do it doesn't remove it again.
This is a typical example of a trainer setting off alarams wrongly (false-positive). It happens most commonly with older trainers or those by third-parties, due to the packers (a compression method) used on the trainers before release.
All this aside, if you have a later version of the game through steam for example, this trainer won't work anyways as the game will have been patched numerous times since this trainer's release. Don't waste too much time on it.