Because it's not up to them where you download the file from.
It's up to the cloud (home router/ISP/Internet/Azure/Channel9).
So they can't see where in the chain it fails,.. They can only check if the file is availible from their location.
So, to help them, can you eliminate that the problem lies in your internet connection by;
Downloading a large WMV file from a different website other then Channel9?
Doing a traceroute to the name of the server you are downloading from?