Solved!
I found out it was in issue with the installed root/intermediate certificates of Windows. An intermediate authority was missing. After I installed that certificate, it worked.
Tried to download the Windows Monitor x64 for my Windows Server 2008 R2.
After downloading Windows claims that "The signature of PCMonitor_x64.msi is corrupt or invalid" and would not let me install the MSI file.
Never had such a warning from another program that I have installed, so I hesitated to install that agent.
Is it me or has the file a problem?
BR
Edmund