Firstly make sure you are using Internet Explorer and not Google Chrome.
Once you click "Download" click the arrow next to the save button. Click "Save as".
In the restrictions popup that appears click "Ok".
In the new window that appears select the students home drive on the left (The N Drive). Save it anywhere in this drive.
You can now copy and paste or drag and drop it onto the Micro:Bit (Usually drive E). You can always use CONTROL + C and then CONTROL + V to paste it into the micro:bit.