Issue In Downloading CrossFire

I have no idea what message you're having, but in any case I'll let you know here what COULD be the possible issues:

You aren't downloading using the downloader here:
http://crossfire.z8games.com/downloads2.aspx

Or
Your antivirus AND/OR firewall is interfering with the download operation. You may need to disable either or both to get a complete download. Also note that it may be necessary to keep either or both disabled while installing. Then after downloading and/or installing you may reinitialize protection from either program or both.

You also may need to add the Z8Games folder to your exceptions list to the antivirus and/or firewall. The pathway to that area is found here:
C:\Program Files (x86)\Z8Games
ONLY AFTER INSTALLING.

Don't forget to restart your computer after installing the game.