How to configure Portal Access for external download link

Since I can't read what you read easily, due to formatting, I will post it again here:

 

"RZ2016We have configured a Portal Access for one external (Internet) web page, so when users logon to the main web top, they will be present an icon for the page, and when they click the icon, they will be proxy-ed to the external webpage. All works fine except in the page there's a link to download an .exe file. When users tried to click the link to download the .exe file, it failed with "web page cannot be displayed" error. My guess is, because the .exe file is not actually located on F5 so it doesn't know what to do. If so, how do I configure this Portal Access properly so users can actually download the .exe file? Thank you."