I get the same if I am not able to write into the current working directory.
Doing a
julia> cd(raw"c:\Temp")
julia> download(url, "philip.jpg")
"philip.jpg"
resolved it and results in a philip.jpg in c:\Temp.
It’s is probably the same within your notebook.
Check what
pwd()
gives and try to change into some directory you have write access. This directory must be on the notebook host system, if it isn’t a local running notebook.