I can't really offer any solutions for being unable to download the game (the links work fine for me so it could be an internet issue (?)), but for getting the game to work, it really depends on what issues you're having.
There's a Technical Difficulties page on this wiki that you can check out, as it goes through solutions for common fangame problems. Yume 2kki's wiki also has a Troubleshooting page for 2kki specific problems that might be worth looking at also.