'An exception occurred during a WebClient request" while using C# ASP.NET

I can reproduce this if I specify, as seems to be the case in your example, a folder name rather than a file name the destination. Supply a file name instead.

As an aside; if I look at the InnerException, it tells me that the problem relates to the file path:

using(var client = new WebClient())
{
    try
    {
        client.DownloadFile(
            "http://stackoverflow.com/questions/8033619/an-exception-occurred-durning-a-webclient-request-c-sharp-asp-net/8033687#8033687",
            @"j:\MyPath");
    }
    catch (Exception ex)
    {
        while (ex != null)
        {
            Console.WriteLine(ex.Message);
            ex = ex.InnerException;
        }
    }
}

Which gives:

An exception occurred during a WebClient request.
Access to the path 'j:\MyPath' is denied.

If I change it to a file, it works fine:

client.DownloadFile(
    "http://stackoverflow.com/questions/8033619/an-exception-occurred-durning-a-webclient-request-c-sharp-asp-net/8033687#8033687",
    @"j:\MyPath\a.html");

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