Unable to download file from website. What to do?

Question

C++ / C#

Hello.
I have a DLL project, I need to download a file from a website. It looks like this: site.com/file/123.exe
There is this code:

#include <urlmon.h>
#pragma comment(lib, "urlmon")

URLDownloadToFileA(NULL, "site.com/file/123.exe", "123.exe", 0, 0);

But when I run the debugger and load the dll into the process, not only is the file not downloaded, but the program does not send any requests either. Help what to do?

Site with HTTP protocol
Tried: add http://, remove.