The Didot edition, published 1845 onwards with French introduction and translation is available from http://gallica.bnf.fr/
. If you search Dion Cassius as "auteur" (author), you will get five results, of which the four last ones are the edition of Dio's Roman History.
Click on the upper gray square (with a book inside) near the number of the item searched you want to download (in your case you will begin with # 2).
Click on "Télécharger" (Download, in red at the top of the page), click on the little "ok" in a ring at the bottom of the following screen, then on the next screen click on "en cliquant ici" with the right button of the mouse and click on something that read in French "Enregistrer la cible du lien sous..." (Save link target under... or something else in English, anyways it is the fourth line in the menu that appears when clicking with the right button).
Hope this will work.