It could be Powershell that's blocked, it is in our environment. Also, we aren't able to download executables in our main environment either. We have to use a dedicated "staging" server in our extranet to download hotfixes which means:
Copying the DeploymentRegistry files to the staging server (via another dedicated server which has access through the firewall to it).
Run SASHFADD, and the download script, on the staging server.
Virus scan the downloaded hotfixes
Copy the hotfixes back to our main corporate environment using the permitted server.