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Honestly, I don't think it works that way - in other words, they don't return the data to your URL. More likely you make a call to their service inside your web page, the data gets returned and you...

This approach is a bad idea in my opinion. You are going to have issues with the locking and access of the files.

Post the content of these 'files' (with mocked up data) and I'll show you how to...

Why do you need to write the data to a file?

I think you are misinterpreting how this works. In my opinion, their website doesn't post back to your site, it merely returns data to you.

In other words, you make an httprequest using your url...

They are probably doing a whitelist onyour server. Give them the IP address of you dev box ans ask them to add it to the white list.

Please just zip this up and post it in a reply as an attachment.

I get malicious web site errors trying to download that file from the site.

Make a call to his system and retrieve the data. Use the link I provided as a guide to make a httprequest and use the httpresponse to retrieve the data.

Ask the tech guy if they have any C#...

If you change to a webservice (from the aspx page you have now), you'll need to read up on how to write an asmx web service.

I would first write the web service and get it to return some test data...

Who is hosting the web page that returns the data? Whoever hosts that page, needs to modify the page to return appropriate data. Whoever calls the page needs to extract the data using HttpResponse....

http://stackoverflow.com/questions/2246991/httpwebrequest-httpresponse-how-to-send-data-in-the-response.

See the example of the client code in the link above.

How does the web service you are calling do it? Are you the one who is writing that web service?