Ah. Looks like a wrong turn. It's not a problem.
Let me explain about WMS in more detail:
Microsoft Research Maps, formerly TerraServer USA, operates a "Web Mapping Service" (WMS). This is a service tailored for automatic download by a dedicated client application and includes automatic georeferencing, which is part of the WMS communication protocol.
It's quite a different procedure to a standard download where you select a file from a remote site in your web browser and then use the browser's download capability to acquire the file.
WMS cannot be used with a standard web browser, it requires a dedicated client. TransDEM offers such a client, as a built-in feature. With WMS you do not select a file, but a geographic position and a size of a map image in pixels. You also provide the geo coordinate system (which must be supported by the WMS). All these parameters require some math, hence the computation being delegated to the client application.
There is a step by step tutorial on using the Microsoft Research Maps WMS in the TransDEM documentation. It's called "Tutorial 4: Web Mapping Services 2, MSR Maps, USA" and you'll find in on page 113 in the TransDEM main manual (current edition).
The tutorial also explains how to deal with the ashx "file".
There is a shortcut for step 1 in the tutorial. If you import the TransDEM WMS Sample Settings package, this WMS will be registered automatically.