For better understanding it would be nice to see that macro, but let's try something else first.
If this macro downloads something, at some point it is using IE temporary files folder or/and Windows temp folder.
I have created a script that deletes mentioned temp files.
You can:
1. Place
clean_temp.bat in your
Startup folder in the
Start menu. It will be started everytime with computer.
2. Run
clean_temp.bat manually
AS ADMINISTRATOR everytime before Excel start executing that macro.
3. Create a task(s) in Task Scheduler to run that script at desired time(s).
Here is the file in archive: