If you can send data OK, but not download data (the download button does not work), there are a number of things to check. For the full list, click here.
If you have ruled out all other options, then it is likely that your IT group operates a whitelist.
Your IT group need to give permission to the download servers for MX.
access1.mymxdata.com (52.16.179.182)
access2.mymxdata.com (54.76.156.182)
access3.mymxdata.com (54.171.93.36)
access4.mymcxdata.com (52.19.156.190)