It works for me. It could be a problem with the browser you're using, or a problem with the bn.com web site (bn.com is notorious for its unreliability).
But it's better to use NOOK for PC anyway, because the filename is better. It's better for humans because it contains the title (well, enough of the title to know what the book is), and it's better for your NOOK because it only has one dot in it. NOOK (1E, at least) won't open EPUB files whose names have more than one dot.
If you download from the web site, you're going to end up renaming every file you download. Using NOOK for PC saves you that grief.
