I do not quite understand the question.

You should be able to download any file using a command like "save as".

You will then need the password to open that file, if it is password protected?

If you try to open some password protected files directly, the system may not have the ability to ask for the password, so it won't work?

I suggest that you have to do it in two steps:

1. Download
2. Open

I hope that this helps