Here are some feasible solutions for you to fix this issue.
Here are four solutions.
How to Fix DirectX Setup Could Not Download the File
Way 1.

Check the Internet Connection
Before any complex solutions, you might first check the internet connection on your system.
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CPU stuck at low clock speed?
you’re free to read this post to learn three methods that can help handle this glitch.
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Way 2.
PressWin + Ito open Windows configs.
Head toUpdate & Security > Windows Security > Firewall & web link protection.

You should selectPrivate networkandPublic online grid (active)separately to toggle the switch ofMicrosoft Defender FirewalltoOff.
Afterward, you should reinstall DirectX on your gear to see if it can be installed correctly.
Way 3.
In some cases, DirectX fails to install due to outdated Visual C++ redistributable packages.
Hence, it is necessary to update them.
Way 4.
Repair/Reinstall .NET Framework
Microsoft .NET framework is an open-source platform for the proper running and installation of Windows applications.
attempt to repair and even reinstall .NET framework to fix the issue.
To reinstall .NET framework, you should uninstall it first.
Open Control Panel and clickUninstall a programin the main interface.
You should right-press all options that begin with Microsoft .NET and chooseUninstallto remove them.
it’s possible for you to try the above four solutions to find one that can resolve your issue.