Server SSL certificate is issued by a certificate authority that is unfamiliar.

When trying to download from Technet or MSDN I would receive the error above.  After messing around with IE for way too long, I found the issue.

For one reason or another Akamai is/was blocked at my office.  Microsoft File Transfer Manager appears to connect to other sites to host the files in the Technet or MSDN accounts.

Fix?

Added the root site that Microsoft File Transfer Manger was trying to connect to in the Safe Sites list in IE.

Example: