The answer by @tonyp​  works well if the file is stored in FileStore. However if it is stored in the mnt folder, you will need something like this:

https://community.cloud.databricks.com/dbfs/mnt/blob/<file_name>.csv?o=<your_number_here>

Note that this will prompt you for your login and password, but once you enter this, the download should be seamless.