Hey there! I downloade a retro font from this site and doesn't let me do any changes.

[Daniel278071203fq6]

https://www.vecteezy.com/vector-art/833582-retro-3d-seventies-alphabet

I clicked on the downloaded file that I had, open it and this is what came up. Maybe it's just not editable? I couldn't really do much with it.  Thank you

[Mylenium]

Have you actually checked the structure in the layers palette?

Mylenium 

[Doug A Roberts]

It depends what you mean by 'editable'. These are all editable paths:

But this is effectively an illustration of an alphabet, not a usable font file.

If you want to do something similar with live text, you could try this:

Each stroke has a transform effect with a small move value and an increasing number of copies. With a rounded font like this, it should have a comparable quality to the original (which appears to also have been created with blends or copies).

[Imaginerie]

Doug is right,

You can have a look at how to copy and apply graphic styles in Illustrator

https://helpx.adobe.com/uk/illustrator/using/graphic-styles.html

That means you could copy the effects (different colours, transformation, offsets etc) from the file you downloaded, onto a new text file you created. You will then be able to tweak those different elements to make it your own. (best way to learn is to reverse-engineer, I found).
Have a good look at the appeareance panel, and play with all the effects. You'll soon be able to make your own!

[Monika Gause]

You could take a look into the Graphic styles panel. Sometimes only the art on the artboard is outlined, but there is still a graphic style you can use.

Here is a link about clipart containing styles: The Vector Clipart Missing Manual: Styles 

[Doug A Roberts]

It didn't occur to me to look! Yes, there is one for the large text and one for the small: