A message box will appear asking "LockDown Browser" would like to access files in your downloads folder. Select "Ok".
If you accidentally clicked "Don't Allow", you'll need to allow it by following the steps below.
Click here for steps to allow LockDown Browser access to the downloads folder.
In the top left click on the Apple logo, then click on "System Preferences".
Select "Security and Privacy".
Select the Privacy button/tab.
Check the box for "Downloads folder" under the "Lockdown Browser".