This error message has nothing to do with the privileges you set up in Manage | Security. These are access privileges on the file or the folder that encloses this file.
On my machine, when I get to the "download" part of downloading an emailed attachment or downloading from a drop box link, I get a dialog with two options: To save it, or to open it. If I choose to open it, this file is downloaded to a designated download folder and opens as "read only". I can't modify the file while it is in this folder. If I choose to save it, I can open the saved copy from the location I chose for the download and it opens as a modifiable file.
In similar fashion, there are folders on a computer, such as the programs folder on some systems where you might download such a file, but the file will then open as "read only", so users should not save such a file to such a location.