This can be a common issue on iPhones/Tablets because a suitable word processor such as Microsoft Word is not installed.
If you are having problems on your iPhone/Tablet - you could either try installing a word app, or try your laptop/desktop.
If you don't have Microsoft Word, there are lots of free alternatives that you can use instead, such as Open Office - which is available here: https://www.openoffice.org/
Also it might be that the file has downloaded and the message to say it was downloading appeared and then disappeared quite quickly. It's worth checking your downloads folder to see if has been downloaded already. If it's not there, it's also worth searching your computer for the document, by entering the name of the document that you've downloaded, or at least part of it - in the example below, you could just enter "Wordbook: Level 1" to see if has downloaded.
Another possible scenario is that you have a really old version of Word that cannot open .DOCX files. If this is the case, then you can try using one of the free alternatives.