Either the server is misconfigured or you have downloads disabled.
To make sure downloads are enabled,
- Enable the console if it isn't already (Main menu -> Options -> Keyboard tab -> Advanced, check the option to enable developer console)
- Press the ~ key to open the console
- Enter these commands:
cl_downloadfilter all
cl_allowdownload 1
If that doesn't work there's likely nothing you can do. You may need to contact the server owner to inform them of the problem.