Could you do a trace route for me?
just "tracert ecn.channel9.msdn.com" from the command line would be great.
I'm not sure what the problem could be since you are able to start the download (so you must be able to get to the server). One other user (linked below) reported that the problem (downloads failing from Australia) was resolved when he turned off a feature of his Anti Virus program, but I'm not sure if that would help anyone else with the issue.
I'm also running MS Security Essentials too and disabling it proved expectedly unfruitful.
My tracert results are the same as chrisnz's (other than my ISP's addresses being different).