Okay, I just tested, and seems to be working on my end. So let's try to figure out what's going on. Here are the steps of what you should expect to see. Let me know which step doesn't sound right:
After you enter in your username and password for Steam, in the Download From Steam option, and click on the Copy button, a message box saying that Steam will be restarted will pop up.
After that, a DOS box will pop up, and do a little update for the SteamCMD, then try to log you in. At this point, if this is the first time you are doing it, it will ask you for your Steam Guard code. This should be found in your email that you used to register for Steam. If you do not have Steam Guard, then you should enable it.
After successfully entering in the Steam Guard code, the download should begin. Depending on your download speed, this could take anywhere from 5 to 15 minutes.
If you look at the new folder after that, you should see something like this:
Notice the Green 7 icon, while the newer ones is Red.