I've found the problem for my web download install. Two issues were: the URL I was using had a capital letter in Help, but the file generated is all lower case. But having sorted that, it fails due to the password protection of the directory. Putting the files in a public directory allows it to work.
Which leads to the obvious question: are the 7zip files just ordinary, readable files, or are they restricted in some way? That is, if I make them public, can people get the contents using a standard application?
Alternatively, is there a way to provide password for the download? I was hoping that the fact that IE has already visited to download the main file would sort it, but obviously not.
All thoughts appreciated.
Matthew

