Do you mean the parts are transparent? If so maybe it's the material selected.
If the parts are completely invisible, go to the Solid Bodies folder and change the Hide/Show setting of the bodies.
If not post an image to show what you are seeing.
If you downloaded an assembly file but did not download the part files for the parts in the assembly, SolidWorks will surpress all the parts in the feature manager tree and the file names will appear dimmed or grayed out, this is because without the part files SolidWorks cannot rebuild the assembly. If it is an assembly file make sure you also download the part files. If you did download the part files it looks like SolidWorks has lost the link to the part files in the assembly. Try to unsurpress a part in the feature tree and a warning should pop up telling you that SolidWorks has lost the link to the part file and it will offer you an option to browse to the part file location.