I was able to reproduce this with IE8 on my machine but not with Google Chrome on the same machine. If you have Google Chrome or FireFox installed, can you try to do the download from those browsers?
Another colleague tried on his IE8 and he was able to download templates fine without error. We are still trying to figure out what causes the download to fail. On Fiddler, there's no report of any error when the message box comes up.
