There is a 4096 byte read/write limit on files. I downloaded the file and it was 4575 bytes.
(MikroTik, we need a bigger limit 
Will this ever be increased?)
There are other ways to get it done. Maybe this post would be helpful: http://forum.mikrotik.com/t/how-to-automatically-synchronize-ips-from-malcode-com/64111/1