Have you posted all of your code? If so, then I think you're missing a step. Your code downloads the file Dataset-fiji_sas.sas5bdat to C:/Users/atamani/Desktop/Mydata/Dataset-fiji_sas.sas5bdat. but it doesn't otherwise load or import that file into R. So when you go to save an .RData file, there is no fiji object to be saved, since no fiji object has been created yet by your code. You need to write code that will import the downloaded file into an object called fiji (this would go between the downloading step and the saving step).
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As @jcblum mentioned, the download.file() only saves a copy of the file at the chosen path. If you want to load a SAS dataset as a data.frame, you can use the haven package after downloading the file:
## Install haven if you don't have it:
# install.packages("haven")
library(haven)
fiji <- read_sas(local)
save(fiji, file = "fiji_sas.RData")