I'm Tamir from the Harmony Connect team.
To give some background to this issue :
Harmony Connect supports 2 types of users.
1. Local-users : Which are users who are stored at Check Point. In simple terms it's Check Point's IDP. This is the default setting.
2. IDP users : Which is users who are connected via the Infinity Portal admin's chosen IDP. This requires the Infinity portal admin to add an IDP configuration in Harmony Connect (Under settings -> Identity provider).
For both types of users the following most of the time resolves the issue :
Going into the browser settings -> Downloads settings (chrome://settings/downloads (if you are using Chrome)) -> And disabling "Ask where to save each file before downloading"
Note : Please make sure to not re-name the file downloaded from the Harmony Connect Portal/Website as it includes information which is needed to activate the Harmony Connect agent.
Notes on local-users :
If you are getting prompted the prompt that asks for an email address, something isn't right and you should contact Check Point if the above solution didn't help.
Notes on IDP users :
Make sure the IDP is fully configured with the domain you are trying to input.
If you are still getting this error, please don't hesitate to reach out to Check Point.
Let me know if my comment helped!