The culprit: http://transfers.one.microsoft.com/ftm/
The error message:
---------------------------Program Cannot Start or Run---------------------------The program or feature "\??\C:\DOCUME~1\CHRIST~1\LOCALS~1\TEMP\~EXB0000\setup.exe" cannot start or run due to incompatibility with 64-bit versions of Windows. Please contact the software vendor to ask if a 64-bit Windows compatible version is available.
It's "only" the FTM that I need for Connect and MSDN Premium downloads! Dear Microsoft, how about a working version for us Windows x64 guinea pigs?
Note: I am complaining about the standalone install, not the ActiveX. But who's using IE these days?