Sometimes newer PDFs cannot be saved from the Internet browser. In such cases, we would suggest that you try to download the product again and then click "Save As..." to save the file directly to the desktop. You can then move this file around as you wish.
If that doesn't work, you might want to try a different web browser. Why don't you try Firefox? Firefox is free software that does not contain spyware or malware and will almost always work at DriveThruRPG.com.