A Little more detail is always Help Full, Type of Phone where you purchased the ringtone from, How are you attempt to download IE To Computer then transfer or is it email delivered and trying to save it from there. potentially what version of OS are you running on the phone. All of this helps.
1) if it's delivering through email and your attempting to receive it and save it on the device it's self did you try doing it from a PC and Copying it to the Device. Usually Ringtones go into a folder called Media\Ringtones or just a ringtone folder for most of the phones I am had.
2) Older OS versions didn't always save correctly sound files.(at least from my experience) But then it usually saves in Downloads on the device a file explorer utility might help with moving that file to the SD or internal storage where you have access to put those things.
3) Is the file your trying to download have DRM rights this could be a issue (DRM isn't used much anymore that I can tell)
I wish you luck in finding your answer...maybe with more info I or someone else can point you in the right direction.