URLScan was blocking access to any .EXE. Looking under the 'Deny executables that could run on the server' section, .exe extension was listed as part of the DenyExtensions functionality.
Changing the Home Directory settings (on the Notification Server) for the Default Web Site value of "Execute Permissions" to be "Scripts" resolved the issue. Using the "Scripts and Executables" value blocks the download of the .exe files.
You can find more details on URLScan and Notiifcation Server under Article ID: 2017 “How to use Notification Server with IIS lockdown and URLScan”
Notification Server 6.0.6074 SP3 + Rx