Today, I needed to download a password protected zip file (as it happens, beta OCS compatible firmware for an IP phone), but when downloading, was presented with the following:

As TMG is unable to decrypt the file and inspect it's contents, by default it's blocked.
This is controlled by the malware inspection policy in TMG.

 

Under the block encrypted files setting.

I needed this file, but obviously didn't want to open a security hole, so I added the specific site to "Sites Excluded from malware inspection" on the exceptions tab.

When I now attempt to download the file from the web site TMG allows it through ok.