As Nahuel Ianni said in his answer, the game downloads content files from the content catalog. Thus, all content must be placed in the content directory.
In other words, the actual path he is looking at is "Content / Character / BlueAnvil." Make sure you put the file in the correct directory.
Other problems that may arise because of this are, if you are using Visual Studio, the file cannot be copied to the output. You need to select a file and open properties, and then select a copy for output and set it either to a newer one, or always.
Finally, there is the file format of the file itself. If this is not .xnb, then this is unlikely to be accepted .. xnb files are created either by XNA or by the Monogame content pipeline projects. In XNA, all files were and should have been converted to this format, but Content Pipeline did it for you. Monogame has files that can be downloaded directly, but they vary from OS to OS. Windows from my head, which I can remember, accepts .png and .wav files. I canβt remember the other accepted file formats, and itβs hard for me to find a convenient table that I saw the last time I looked. C>
So what the game is really looking for to download is either "Content / Character / BlueAnvil.xnb" or "Content / Character / BlueAnvil.png"
EDIT: Although it has been some time since I posted this answer and it is still mostly true, I believe Monogame has now removed the ability of ContentManager to download .xng files such as .png and .wav. However, it does have a function to load these files using methods such as Texture2D.FromStream (graphicsDevice, fileStream). This is what you should use instead.
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