Rustybella You do need to play through Steam in order to access this content. For this error, do you use a third-party antivirus, and if so, does it help to disable it temporarily while downloading the game? As long as you don't do anything else at the same time, your computer should be safe, and you can reenable the AV when you're done.
If that doesn't help, try downloading to a different location, a new folder you make for this express purpose. The folder should be on the root level of your drive, for example C:\Games is fine, but not C:\Program Files\Games. Here's how to change your Steam library location:
https://help.steampowered.com/en/faqs/view/4BD4-4528-6B2E-8327