We have seen issue on some machines that are running BitDefender. It is intefering with the ability of Download Surgeon to save files it downloads.
If you are running  BitDefender and are encounter problems, please try the following: 

Open BitDefender

In the Main or Home Window locate “Safe Files”
Switch this off temporarily and then try Download Surgeon.
If DS3 now works then you know the issue is with BitDefender.

If that is what you find turn “Safe Files” back on
Next click Application Access
If will then open the pane that you see to the left
Click the blue text at the top that says “Add a new applcation”
Now browse to the Download Surgeon 3 folder and add the following files

This is the path to DS3: C:\Program Files\Download Surgeon 3

In this folder select: ffmpeg.exe and add it to this Bitdefender pane
Go back again and select:   DownloadSurgeon3.exe    add it to this Bitdefender pane

Now save and close this pane in Bitdefender.
Next, close DS3 and then re-open and now try downloading again.