There are a number of reasons a file may fail to download. If it's a file that is intended to be streamed, the sever is not going to respond in the expected way to a file download request. It's also possible that the website itself is experiencing technical issues. The "Failed. Try Again" message just means that the server on the other end did not response to your download request within the time limit (known as a time-out).
Without knowing anything about what device, browser, or website you are using, I can't offer much more help than that.