Hi again,
Just wanted to let you know that I've been able to solve the problem finally... It was O.S. related.
I was downloading the file to the root of drive "c:" and windows 7 wasn't allowing the service application to place the file there(the .net application didn't have any problem downloading to the root), all I had to do was change the path for the downloaded file and the connection happened and the file downloaded without problems.
Thanks for your help anyway.