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If you are using ExpressVPN for Windows version 4.x and stuck on the «Downloading files…» screen, follow these steps to resolve the issue.
Right-click on ExpressVPN in the system tray and select Quit ExpressVPN.
You can also quit ExpressVPN by hitting Ctrl + Alt + Delete, clicking Task Manager, selecting ExpressVPN, then clicking End task.
Next, launch ExpressVPN and connect to a server location.
Note: If you need to download the .exe file again, please see here for how to download the ExpressVPN app.