Let's take a few steps back, and explain "compile" first.
Suppose you want to have dinner. You go to the super market, and buy lots of tasty ingredients. Raw meat, uncut vegetables, some uncooked potatoes, or unboiled rice, etc.
Do you eat all those ingredients as you bought them from the super market?
No, you don't (at least Ii hope so
There is a process called "cooking" that transforms tasty ingredients to a meal known as "dinner".
Compiling is a similar process. Computers are bad at reading text, and good at reading numbers. We are good at reading text, and bad at reading numbers. To bridge that gap from humans to computers, there is a process called "compiling". It transforms the text describing the GRF contents to a form known as NewGRF, which the computer (game) understands.
Like cooking, compiling is a one-way transformation. You can't get back to the original ingredients from the cooked meal. You can't get back from the NewGRF to the original text. The latter is not entirely true, there is a process called "decompiling" that does produce text from the NewGRF. Technically, it is text, but it's not very readable, you need a lot of study to understand what it says.
Now, back to your problem. What does "download a grf" means exactly? What are you downloading? The "NewGRF" file (ie the transformed result aimed at use by a computer), or its source code (the text describing the grf, aimed at editing by humans)?
In cases like this, it helps if you show us every step of the way, in such a detailed way, that we can replicate the exact same steps, hopefully getting the exact same result that you get. At that level of detail, we can literally try to do the same thing you did, and then find where it doesn't work, or where you forget a small but crucial detail.
This goes as far as what file you downloaded, which tool you used to unpack it, the command line parameters that you used, the file that you edited, the exact line you changed (with "before" and "after", so we can see the exact change), the command to compile, the response of the system, and since you say "nothing happens", probably also an indication of what you expect to happen at some point, but doesn't.
Edit: Ninja-ed by Transportman about the last part