You don’t download files physically from Tidal, they stay on their server. From within Roon you search for it and find it on Tidal and then add the album to your library. Or from within Tidal you search for it and add it to your favorites and it will appear in your Roon library. Once it is in your library you can play it from Tidals servers without it downloading.
If that is not working describe some more details of your setup as outlined in this thread and support will be able to make some more suggestions.