I got this error on my MOM Server 2005 with SP1. The reason was that the IUSR_account did not have Read, Read & Execute and List Folder Contents rights on the following folder:
<drive letter>:\Program Files\Microsoft Operations Manager 2005\Downloaded Files\<server name>_MG.
Go to the MOM 2005 Admin console -> Management Packs -> Tasks -> MS Baseline Security Analyzer, choose Properties of "download mssecure.cab from file transfer server", go to tab "Details" and change relative path from incorrect "MBSA\mssecure.cab" to correct "MBSA/mssecure.cab".
Also, go to the MOM 2005 Admin Console -> Management Packs -> Rule Groups -> Microsoft Baseline Security Analyzer -> Baseline Security Analyzer 1.2 -> MOM Agent -> Event Rules. Find rule "Download mssecure.cab from File Transfer server" open it and correct the error.
Now go to the Operator console computers, choose computer, and choose in the left tasks pane to run "MBSA -> Download from file transfer server" and look for EventID 22094 from source Microsoft Operations Manager to verify that the problem is solved.