Hi Zuzu! Welcome!
I'm not sure I understand your problem, but if someone who does doesn't answer here, you might try the forum at
http://www.entourageedge.com/forums/forum.php.
When I download something to my PE I get a down arrow icon in the notification bar showing that it is downloading, or the download history page comes up with my new download coming in at the bottom. That lock icon is suspicious -- is your eDGe locked out for some reason?
I'm going to see if I can find a pdf to download from a web page, and see what I get.
Good luck! I'm sure there's a solution.