The server doesn't allow the document to be loaded. There are several cases when such a problem appears:
The site is password protected and you need to enter the password in the Project Properties dialog, Advanced | Passwords section.
You are trying to download a directory listing and the server does not allow this. This happens when the URL ends with a "/" slash. Unfortunately, there is no solution to this problem.
The site section is not allowed for downloading at all.
The site does not allow offline browsers for downloading. To overcome this limitation, open the Options dialog and select "Internet Explorer 5.0" in the User Agent identification field.