This usually happens because your computer is running firewall security software like Norton or Zone Alarm that is stopping the process. If you are, please disable it for the purposes of downloading the music and try again. You may have to consult the documentation that came with the security software, we will not be able to help you troubleshoot this kind of software. If you are still unable to download the entire show at once, it may be a circumstance related to the specific setup of your computer that is preventing you from using this feature. In this case, you can use the manual download option.