How to download a texture?

I have opened a texture, and then I chose "File -> Save texture as...", I then browse to where I want it, name it and click "Save".
In the texure window, I get the text "Recieving" followed by a green bar, but nothing more happens. No file get saved.

Where should I look for errors?

Try again when there is less lag in the sim? If you got as far as the "Receiving" green bar, you had the correct permissions and procedure, and the file should appear where you told it to go. You'll probably need to click on the desktop if that is where you saved it, or open the window for the directory you saved it into, to get your computer to remove focus from SL long enough to acknowledge that the file is available.

I've tried this numerous times, with refreshing the recieving directory contents and all. Nothing shows up.
I even disabled firewalls completely, still nothing.
The texture is saved via "Save baked texture", so I have to redo it if I log out and in again, it seems like the saved textures are deleted as soon as I log out...

Here is what I do. Go to an island that is empty (like one of the corporate sims or a friends private island) You should be able to there.
When Lag is bad, i do that to upload, beacuse usually I can't upload on the mainland. Also, I do uploading and download right I log. The moment the bar vanishes and you see yourself, do it.

Hmm.. I don't have any friends with islands... And would it be proper to show up on a corp sim all naked? I do use a default skin, but it's still naked...