A family of Microsoft relational database management systems designed for ease of use.
Never mind I've figured it out.
It was the Firewall! I did authenticate with the firewall so it would let me through and tried it and it didn't work. I've just tried it again and it did work.
It was blocking the download of the CAB file over HTTP.
I must have authenticated and started to download before my authenticated session had actually started.
Clicking too fast!
Thanks for the help.
Joe