Post in the forum for that game / app.

If Wallpaper Engine won’t download anything, and the folder stays empty, the issue is most likely not with the app itself but with Steam or your connection. Try running Steam as an administrator, and make sure the path to the Wallpaper Engine download folder doesn’t contain any non-English letters or spaces that can sometimes break downloads. Also, temporarily disable your antivirus or firewall to check if they’re blocking the connection.

If the wallpapers appear to download but never show up, try clearing the cache in Wallpaper Engine’s settings and restart the app. Don’t pirate it cracked versions often break and can contain malware. It’s much safer to reinstall Wallpaper Engine through Steam and make sure the drive you’re installing it on isn’t write-protected.