I just thought of one other possibility. If you are running Windows Vista/7, installed Hero Lab beneath the Program Files folder, and are NOT running Hero Lab as an Administrator, you probably will run into the behavior you describe. If you don't run as Administrator, Windows does some really wonky things to PRETEND you're in the "Program Files" folder when you really aren't. This causes all sorts of confusion when you do some things with Administrator rights and some things without. The really annoying thing is that Windows automatically goes into Administrator mode when installing software, which jumpstarts all the weirdness. We're working to resolve this in the next feature release of Hero Lab, but it's a problem for now.
NOTE! This post only applies if you managed to achieve the perfect combination of the three conditions cited above.
If you did manage to achieve the above combination, I think you can get things to work properly by doing the following:
1. Configure HL to always be launched in Administrator mode. This is achieved by right-clicking on the shortcut you use to launch HL, then selecting Properties. Go to the Compatibility tab and then check the box that says "Run as Administrator". Then save the change.
2. Launch HL in Administrator mode using the now-modified shortcut.
3. Try loading the 4E data files. If Hero Lab says they need to be downloaded, let them be downloaded again.
4. Now see if you have access to all of the 4E content generated by the downloader.
Under most conditions, the above steps should work. However, if you don't see any of the 4E content at this point, you have three choices:
1. Locate the the 4E content on your computer and copy it into the proper location beneath the "Program Files" folder that Hero Lab uses. The complication with this is that you'll need to do this in Administrator mode so that Windows doesn't pretend things anymore. If you aren't knowledgeable about this stuff, you might want to skip this approach.
2. Re-run the downloader again. Now that Hero Lab is running in Administrator mode, this ought to work correctly. The problem is that this will take a good chunk of time to complete again.
3. Uninstall Hero Lab from it's current location beneath "Program Files". Then install it again into it's default location. Now you can locate the 4E content that the downloader generated and move it to the proper location. Since Hero Lab isn't installed beneath "Program Files", Windows won't do anything special and gum up the process.
Option #3 above is probably the fastest to complete.