...Download from where? You have to export it. Twine calls it "Publish to file", in the Build tab.
Viewing post in My HTML game won't work
...That's the file type filter for the "save file" dialog. It simply means you can see all existing files when choosing a name for your export.
...I just tried it, and Twine offered to publish my game in a file with the same name as the story and the .html extension. You only had to press OK. Please double-check what you did.