Go to the server and open a browser. Type in the URL exactly as issued in your agent. Does it work? If not, is DNS configured properly on the server? And does the server actually have a working browser? If it does work in the browser, then chances are the version of MSXML you have is incompatible with something – the server OS, the IE version installed on the server, etc.
BTW: I have always had much better luck using WinHTTP instead of MSXML in agents. It’s also from Microsoft, also free, and more robust than MSXML.
I honestly couldn’t tell you. I’ve used WinHTTP in all cases where I’ve been doing work like this for the past several years. The last time I touched MSXML was probably in 2002. I imagine that there’s got to be documentation for MSXML up on the Microsoft site, somewhere. Here’s the doc for WinHTTP:
WinHttp is pre-installed on recent windows versions, including XP SP1, Win2K3 and Win2K SP3. There are also install packages available for earlier versions – but you’ll have to go looking for them.