Some anti-virus program scans all the files in a destination folder when downloading a file from the Internet. When the destination folder is in a network share, this scanning may trigger the prefetch of the stub files in the folder. This situation may cause the file download to fail. Windows Defender is known to have this issue.
To work around this problem, please download the file to a location on the PC first. After the file is downloaded, then copy the file from the PC to the network share.