Hi Manohar,
The action you're referring to on the Sharepoint skill does not support downloading a file to a local drive. It copies a file from one Sharepoint location to another Sharepoint location. Here's the description of the action:
Copies a file from a parent location to a destination in the same sharepoint site.
To download the file to your local drive you'll likely need to use the Blueprism Sharepoint Object which should have been installed alongside the Web API.
Cheers,
Eric