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[Saket]

I Just tried your code its working fine my side. May be the error is due to the save as dialog is not open.
Can you make sure this and try again?

I guess you are trying to set the file path for your download.
it can be done directly setting the path to the filename edit box at Dialog.

Code:

Dialog("File Download").Dialog("Save As").WinEdit("File name:").Set <<Your Path>>

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