I've been using the URLDownloadToFile API call and I've been experiencing some hit & miss results that I've tracked down to the following. All of these examples return 0 (meaning successful download).

These two create the website.html file, as they should:
URLDownloadToFile(0, "http://www.google.com", "c:\website.html", 0, 0)
URLDownloadToFile(0, "http://www.microsoft.com", "c:\website.html", 0, 0)

But these don't create any file:
URLDownloadToFile(0, "http://www.msn.com", "c:\website.html", 0, 0)
URLDownloadToFile(0, "http://www.toysrus.com", "c:\website.html", 0, 0)

I've tried using the DeleteUrlCacheEntry function as well. Same result. The above are obviously just 4 examples. Some sites work, some don't. Why?