(sorry didnt see this was years old)
try right clicking and then go save link as - chrome - you will then get a warning about the file being not transmitted securely.
A lot of the files from nzx are over http not https - and chrome rightly or wrongly is not letting you download them - unless you jump through extra hoops.
Wrongly chrome is not telling you why. - do the right click and download as trick will see you right.
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