Hello Mike
Today I was trying to download the Windows 8 Pro and I faced exactly the same error message reported here since 2008!
I regret to tell that there is nothing to do with your TMG neither there is no proxy setup, I've plain home network setup with normal Windows 8 and IE10 out of the box installation, nothing fancy and nothing special and I've got the same issue.
I've tried many things already mentioned in the this thread without any luck.
so, unfortunately to you, I've downloaded Chrome, installed it and the download started once I've tried from the 1st time!!
It looks the issue is in the IE itself and it's strange that you have noted the problem since early 2008 and you still struggle.
Regards