There are those, as Ted mentions above, who believe that de-compressing FLAC audio files during playback can have a deleterious effect on sound quality. The only way that this is possible is if the additional CPU load causes more noise (RFI) in the serving computer, and if this noise is then able to couple into the DAC, or elsewhere in the audio system chain.
While the claim seems far-fetched at first, there is enough evidence to suggest there is something to this claim, but it is also likely that the level of effect (if at all) is very low, and also system dependent.
In any case, storage is pretty affordable these days (especially in audiophile terms) for complete peace of mind, I store my music in an un-compressed format to avoid any possible sonic penalty, as Ted advises above.
To be sure, there is no problem downloading files in FLAC at all, as it is lossless compression, and once de-compressed, the files are identical to the original.
There are those who suggest that any process done to a music file changes how it sounds, but no actual evidence of this has ever been demonstrated-some of these folks even believe that sending a file through e-mail will change it's sound, even when any analysis shows the file stays "perfect". I suggest anyone who hears this "problem" best stick with only analog sourced music, as anything digital will be horribly corrupted by all the file transfers and processing done during recording/editing/mastering!