Why doesn't the bitsadmin.exe download manager work for me?

Why does this bitsadmin command fail?

bitsadmin.exe /transfer myDownloadJob /download /priority normal http://mirror.anl.gov/pub/ubuntu-iso/DVDs/ubuntu/8.04/release/FOOTER.html c:\Temp

It seems that it should work, but it gives me this error:

BITSADMIN version 2.0 [ 6.6.2600.2180 ]
BITS administration utility.
(C) Copyright 2000-2004 Microsoft Corp.

Unable to add file - 0x80070005
Access is denied.

NOTE: I am using bitsadmin.exe from this file: WindowsXP-KB838079-SupportTools-ENU.exe

The parameter at the end, C:\Temp, is the path of a file, not a folder. If you had nothing at C:\Temp, meaning no file or directory at that path, the remote file would be downloaded to a file named C:\Temp (no extension). If you have a directory at C:\Temp, you get the access denied message, because a new file cannot be created at that path.

In short, you need to change the parameter at the end to a full file path, something like C:\Temp\footer.html.