You're getting the error because it think's you're specifying an invalid drive letter. Look at the path you told it to open:
There can only ever be a single colon in the path, with a single character before it, specifying the drive letter. You have two colons.
The next problem is you cannot use the File class to open a "file" returned by a URL. You have to use the WebClient class to download the file, then you can open the local copy of the file.
WebClient.DownloadFile Method (System.Net) | Microsoft Learn