Hello, Please check these 3 things:
1) Make sure that server path to the folder with downloads is correct om your server. Look under: Settings > Basic Cart Settings
2) Make sure downloads folder has CHMOD that permits files to be written into it by cgi scripts. You can change CHMOD for that folder to 777 and see it this works.
3) In the end please make sure that CGI scripts are allowed to write into files outside cgi-bin directory. On some servers, CGI scripts can only write into cgi-bin directory! You can try to place downloads folder inside cgi-bin directory and see it files can be saved.
Regards,
Support @ ShoppingCart.org