That's strange. It took me a while to figure out as well, but then worked non-stop for an entire day.
This is what I ran:
C:\Users\workPC\Documents\reddit-data\shreddit-windows.exe --username blah --password blah --client-id blah --client-secret blah --gdpr-export-dir C:\Users\workPC\Documents\reddit-data\export_blah_20240225
It's possible reddit is rate limiting you, or the program loses access to the gdpr folder it's pulling the links from (antivirus?). You could try running it from a different path or on a different pc.
I ran the .exe from the same "reddit-data" folder that contained the gdpr files just to be safe with folder permissions and stuff.
Cool, you managed to get it working after all. I never used Power Shell before this either.
It's ridiculous the average user has to jump through all these hoops just to regain control of their own data.