Today I failed to download an application from MSDN Downloads.  I got the following error:

To make the message searchable, I paste text from the message box (click here to learn how to copy and paste text from a message box):

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VBScript: Microsoft File Transfer Manager
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There was an error launching File Transfer Manager.

If you are running Windows XP with Service Pack 2 or Windows Server 2003 with Service Pack 1,

this installation may have been blocked.  If the gold IE Information Bar is present above, please

click the bar and select the option to ‘Install ActiveX’.

For additional assistance, please visit the web site https://transfers.ds.microsoft.com,

or contact your help provider.
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OK  
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To fix this problem I just download and installed File Transfer Manager from here.

You also might look at this article from Microsoft.