It will be either Licence setting, else your download slots are set to zero. See this link for details: Cant download at all - nothing happens when I click download (click on blue link)

LW preferences settings can be found under the LW icon at top left of screen next to the apple icon. Hold it down & a menu will show, select Preferences. Then select Downloads, make sure the download slots are set to at least one or more.
(Keyboard shortcut for most Mac OSX program preferences settings: Apple/Command key & Comma key at same time ⌘ ,)