I get it depends on the analysis software. I downloaded chesscat from this web site (see resources, downloads, pgn utilities). Once this software is installed I click on PGN in my games on chess.com and if I select open then it opens it immediately in chesscat; if I select save then I save it to my hard drive and then when I click on the file on explorer it opens in chesscat. I should say, however, that chesscat isn't an analysis program - I use it because it just provides a nice interface for playing through games and annotating them.
I do have trouble loading games into Fritz which is an analysis program that I used after the game to assist my post-game annotations. But I think that is just the clunky features in my (free) version of Fritz.
It may be worth saying what analysis software you're using and then someone who uses that software may give a useful response.
When i try to use PGN files to download a match it just comes up with lots of new tabs with nothing on them.
Why does this happen and how to you downlaod the game and put it onto the game analysis?