Where are you trying to download from ? It is possible that something is there on the code side of that particular website allowing only access to web page, instead of media file.
I tried in FDM (version 184.108.40.2062 portable) by manually adding the link and was perfectly working.I'm trying to download season of HIMYM by searching index of it
the link is
Index of /TV.Show/H/How I Met Your Mother/