Downloading MBSA from Microsoft with IE Enhanced Security

This took a while to figure out...While trying to download MBSA from Microsoft, using IE 9 on a freshly patched install of MS Server 2008, I kept getting the error message "Your current security settings do not allow this file to be downloaded." The solution turned out to be to (temporarily!) add "http://download.microsoft.com" to the list of trusted sites (Internet Options -> Security -> Trusted Sites -> Sites).