I am trying to do my class assignment and the file I need in microsoft access keep saying the same error message and I cannot do my assignment without opening it help please

file is located outside your intranet or on an untrusted site. Microsoft will not open the file due to potential security problems.
it says to open the file copy it to your machine or an accessible network location. and the only button to click is ok.
Once I click it then it just closes.
I have used access b4 my professor posted the download to it in class and the other students opened it fine so it was downloaded ok
I just right clicked and saved target as and still no luck
Anyone I am on a deadline and completely stuck