Downloading a file from Microsoft Update Catalog
I was stuck on this for quite a while, trying to directly download and install an out-of-band update to fix a problem that Microsoft caused with another update. Specifically this is in regard to KB50000802 (or 802), which was fixed with KB5001567. But try as I might, I couldn't find the correct technique to get this file to download.
Then it hit me: This is freaking Microsoft so they've undoubtedly done something they didn't document and is just slightly squirrelly. It occurred to me to try the download with Internet Explorer instead of Chrome. No, that didn't work either. But when I tried it using Microsoft Edge the download fired up and I was able to get the file into the Downloads folder and launch it.
Obviously they did something with ActiveX or .Net, and it's probably documented somewhere. But if downloading an *.msu file doesn't work, try it with Edge.
Then simply launch the file by double-clicking on it. Good luck.