As Ben noted, typically websites provide a URL or button to select to download a file, then assuming your Windows Registry is not corrupted you'll be presented with the option to Run | Save or Save As | Cancel
Perhaps though, you are wanting to download videos from sites like YouTube. To do that you'll need to open the Store app, then search for an extension to add to Microsoft Edge that allows you to do this. I'm not really into that kind of downloading, but the last time I looked there were several choices, most of which require you to add your own script to the extension to make this possible.
If that is what you are wanting to do, let us know — I assume someone in this Forum does this, and could walk you through how to set all that up.
Oh, if you were wanting to save a webpage, you can also right-click, on the page then select Save or Save as. Likewise, for images or highlighted text.
Regedit32