Step Download Timeout means that the step needed to performed for the subsequent step to be performed have reached its timeout limit (default is 120 secs) in LoadRunner.
If the error occurs during the generation of the script (replay in Vugen), it could mean that the application is really taking time of more than 120 secs to complete the download of the resources. You may want to configure the timing to suit your application needs.
Increase the run-time timeout settings: In VuGen or the Controller, select Run-Time Settings > Internet Protocol: Preferences, click the Options button, and increase the "HTTP-request connect timeout" or "HTTP-request receive" timeout values.
If the error occurs during a scenario execution and happens in the middle of the scenario (usually with a large amount of load), the application is handling a lot of load and unable to attend to all the vuser request, thus (maybe) taking more than the configured download timing. For this,it will be better advisable to look at the system utilization of the server to seeth out any performance problems.