The cause:

It looks like your directory to path doesn’t  exist. When you don’t have directory, Web Client cannot find the Folder to locate the downloaded files. This is the reason you are getting the “an exception occurred during a webclient request” error.

Solution:  

If we specify that is the case, we can reproduce it. A folder name rather than a file name the destination, as in your example. Instead, let’s provide a file name.

A small note: If we look at InnerException, it will tell us that the problem is related to the file path.

using(var client = new WebClient())
{
 try
 {
 client.DownloadFile(
 "http://stackoverflow.com/questions/8033619/an-exception-occurred-durning-a-webclient-request-c-sharp-asp-net/8033687#8033687",
 @"j:\MyPath");
 }
 catch (Exception ex)
 {
 while (ex != null)
 {
 Console.WriteLine(ex.Message);
 ex = ex.InnerException;
 }
 }
}

This is what it means:

An exception occurred during a WebClient request.
Access to the path 'j:\MyPath' is denied.

It will work successfully if we make it as a file below:

client.DownloadFile(
 "http://stackoverflow.com/questions/8033619/an-exception-occurred-durning-a-webclient-request-c-sharp-asp-net/8033687#8033687",
 @"j:\MyPath\a.html");