Hello Harmanpreet,
The GSEA Desktop accesses these files using FTP (at
ftp.broadinstitute.org) rather than HTTP (at
www.gsea-msigdb.org). Many IT departments block FTP traffic and generally treat "traffic" as being only HTTP. A check on that FTP site today shows that it is still accessible from the general internet, so this is the likely issue.
The workaround is as described in that message: you can find our GMT and CHIP files from the listed Downloads page, and then use the Load Data screen to import them into GSEA for execution as usual.
We have it on our agenda for a future release to remove the FTP dependency, but for now this is the only automatic download option available.
Regards,
David