you probably downloaded a file that connects to a streaming content server and the host is offline or doesnt serve that content anymore.

these files (usually asx or something) are mostly small in size and only contain the locations of where to access the content.

try downloading a file that you can keep as an offline version. meaning: download things you wont need the internet to access. such as mp3's/m4a's/avi's/mp(e)g's etc..etc.