Welcome. To download something OTA (Over-The-Air), it must be the right type of file, and it must be hosted on a server that you can reach using your BlackBerry Browser. It should be as simple as clicking on the link for the OTA download.
As to your second question, it is impossible to answer without knowing what you are downloading, where from, what the error is, etc. If you want answers, you'll need to provide more details.