There isn't enough info to go about this problem. First tell us what Operating System you are using; Then tell us do you get any error messages? Also tell us whether this is the fist time ever you have tried installing PSE11. I am assuming you are using fairly latest hardware such that the minimum spec requirement is complied with.
If you're talking about a purchased version and you really mean download (as in to get the files from the internet) and don't actually just mean "install", then try downloading the trial and entering your serial number there.