If you don't see the folder or file, my guess is that your firewall/anti-virus is blocking the file from being downloaded. You could probably try turning it off to see. Or you just go to https://sourceforge.net/projects/mingw-w64/files/Toolchains%20targetting%20Win64/Personal%20Builds/mingw-builds/ in a browser. All the various builds are listed there.
I too am having the same problem but on Windows 10. The repository.txt file is downloaded correctly, so I can choose a specific setup. When I make my selections however, say "7.3.0, x86_x64, win32, seh, 0", click Next, then Next again, I get the "The file has been downloaded incorrectly!" error dialog. Disabling virus protection, firewall, etc. has no affect. If I manually copy the http string from repository.txt, e.g., http://sourceforge.net/projects/mingw-w64/files/Toolchains%20targetting%20Win64/Personal%20Builds/mingw-builds/7.3.0/threads-win32/seh/x86_64-7.3.0-release-win32-seh-rt_v5-rev0.7z...