Here http://forums.adobe.com/thread/1300030 is what has already been discussed
Did you try the CHAT link I posted in that message... and was nobody able to help?
Also, More information needed for someone to help... please click below and provide the requested information
-Premiere Elements FAQ http://forums.adobe.com/thread/1042180
And, when you are ready to proceed, The Tutorial Links Page http://forums.adobe.com/thread/1275830 may help
Premiere Elements FAQ List (2 pages of FAQ as of September 2013) http://forums.adobe.com/community/premiere_elements/premiere_elements_faq?view=all
Premiere Elements TIPS List (6 pages of Tips as of September 2013) http://forums.adobe.com/community/premiere_elements/premiere_elements_tips?view=all
Please verify that you are using Premiere Elements 11? It sure sounds like it. What computer operating system is your Premiere Elements version running on? The Content download can be very slow and requires a lot of patience. Please check out my blog post on the topic.
The process is dependent on Internet connection speed as well as the status of the Adobe server.
Others have posted about the same issue. Patience is the key. Nonetheless there will be those who write that their Premiere Elements 11 Content download took seconds. That never happened for me.
What specifically are you trying to download in the way of effects or other?
Looking forward to your follow up with lots of details to help us help you.
Since you are "getting started," is it safe to assume that you are using PrE 11?
What OS version are you using?
Exactly what are you doing to "download" the Effects?
With PrE 11, the Additional Functional Content (Menu Sets, Themes, etc.) is only via download, and one can do it piecemeal, or all at once. Knowing what you are doing, will be very helpful.
Good luck, and please let us know a bit more.