Since the last version of Chrome released last october (version 86 in 2020), EXE files and some other don't seem to be downloading anymore.
When you usually click on a linked file to be downloaded, you normally get a "save to location' windows or it will simply download the file to the default location.

Since there is no download happening, it simply looks like the website or the link is broken.
To make it worst and even more confusing, Chrome doesn't return any error or message signaling what's going on. Nothing showing the download is beginning of not permitted for whatever reason.

In January 2020, Google did mention it will start denying downloads from unsecured file server links. Basically, anything that is hosted in an HTTP instead of HTTPS.
At this time only .exe files are being blocked, but will soon be followed by many more , like .jpg images.
It is expected PDF and even compressed files like .zip or .rar will soon be part of the list as they are mostly involved in internet exploit and scams.

For the time being, if you encounter a file that doesn't seem to be downloading, you can right click on the link and select "Save link as..."

There is no guarantee this will work in the next Chrome versions, but it is still working for the moment.