Searching through forums found that the culprit is an IE Setting. In Internet Explorer, in Internet Options, under Advanced tab, under Security section if the setting "Do not save encrypted pages to disk" is checked then the download fails.
However if I hit the same URL in the browser, the download happens fine.
I am trying to distribute pieces of software through the dotnetinstaller bootstrapper and there can be can be scenarios when the user workstation has this setting.
Any way this can be fixed?
Posted same to GitHub Issue