Greetings, @lyndsey5.
Congrats on making your first post here in the Community. I can help you download transactions when using the bank feed.
The error message you're receiving seems like your browser is disabling you to perform a file download within your account. All you would need to do is go through your browser's settings and enable the "File Download" option.
For future reference, check out this article about downloading data.
Let me know if this fixing the problem. I'll be back around shortly to check in!