After clicking the download link in the panel which appears after selecting an exported report from Report Distributor Downloads in the Reporting menu of Analytics, a login screen appears.
SAP SuccessFactors Online Report Designer
Downloading a file from Report Distributor Downloads opens a new browser window/tab with the sole purpose of initiating the download (it closes afterwards). If this is blocked its behaviour can be unpredictable but the download will definitely not work.
Disable your pop-up blocker, or change the settings to allow the browser to ask permission to open new windows. The latter should allow you to permanently "allow list" the SuccessFactors site and allow future downloads to proceed.
KBA , LOD-SF-ANA-ORD , Online Report Designer , Problem