To save a file out of Hosted Compliance, navigate the file save dialogue box to "Save to My Device", enter a file name and click Save.
The file will then appear as a download prompt in your web browser.
If the file has already been downloaded to your cloud Desktop for example, you can save it to your local downloads folder as shown below.
Left-click on the main menu icon in the session (top middle of the browser) and click on the 3 dots to expand it, then choose Download and select the file you want to download and click Open to save it to your local downloads folder: