Downloads not remapping correctly

Hi,
I am having issues with downloads being remapped. When I am logged in using a test subscriber account I see the perceived location for the link but it doesn't remap to the correct location for downloading, all I get is the main website's 404 page. That in itself is strange because I believe that I should get the WordPress based 404 page. Are there any setting I can look into to fix this? Are there specific details that I should provide to help diagnose this?
Thanks.