Try running it as Admin, change and save the settings, and try downloading something. See if that helps :) If not, please post your system info in the the Downloader sticky thread about this issue :)
I have tried all the above, including setting different download speed limits, but the GOG Downloader doesn't want to listen to me ;-P
I have come to accept its stubbornness and do stuff that doesn't require being on the Internet while downloading my GOG games.
OTOH, downloads are fast and that's a good thing :D
I'm not sure that I'll post in the GOG Downloader thread as it's been a bit of a graveyard lately - the GOG guys responsible for the Downloader haven't shown a sign of life for over two months, I guess they're too busy with whatever new stuff's coming later this year and I hope that entails a better behaved GOG Downloader.