If you are an Admin, Training Manager or Course Instructor you can define if you want to allow your users to download the lectures or files from a Course.
To do so, you will need to go to the Training Admin Workspace, select Manage Training -> Courses in the left navigation panel. Here, select the course you want to allow downloads for.
On the right, under Course Panel, select Lectures -> Lectures. This gives you the option to edit the lectures in your course. Under Download document lectures and supplemental material, when you select the Allow option, a download icon will be shown in your Course's documents and the enrolled users are able to download them.