If you’re using Chrome, click the three-dot menu icon then Settings > Advanced > Downloads > Ask where to save each file before downloading. If you’re using Firefox, click the three-line menu icon, then click Options (or Preferences) > Always ask you where to save files. Using Edge, click the three-dot menu icon, then click Settings > View Advanced Settings > Ask me what to do with each download. Using Safari, click Safari in the menu at the top of your screen, then click Preferences > File Download Location > Ask for each download. [1] X Research source

If it does not open a window, you need to change your settings for your downloads options.

Don’t remove the USB flash drive until your browser indicates that the download is finished.