OK, it seems the request is made already, but.... I implement my own
IDownloadManager. The problem is that some servers does not allow
connect twice. I use cURL in a separate process for downloading, not
standard Windows API. So I just can't download from such servers and
would like to ignore them. My users can click "Cancel" and skip the
download by my program so IE will download itself. When I use
IBindStatusCallback to get the cookies IE fails to download then I
return a error from my IDownloadManager::Download. Its download window
disappears in a second and IE does nothing to download the file.