Which makes sense, because no such remote exists in your config presumably. I get the same error you do.
I've never tried to directly copy a HTTP link like this (are you sure this is a feature that exists? if so please link the docs for it). I know there exists a HTTP remote you can set up to pull files from HTTP - but that is geared more towards permanent setups. It would be cumbersome to set up a remote for a casual one-time dowload.
It looks like you can basically use this to pull files via HTTP from anywhere, so you would only need to configure the HTTP remote once, and then it would be good to go for all your casual one-time transfers later on.
Let me know if you need help setting that up or how to work the syntaxt. The basics are explained in the documentation though.