Have you read LWP::Simple? What filename to you expect the file to be stored in? Where does that filename come from?
My guess is that if no filename is given by the program, LWP::Simple::getstore will fall back on the Content-Disposition header and the filename supplied there. But the error message suggests that the page is sending no such header.
My suggestion is that you inspect the headers you get back, and also look at the content that is returned by that URL. If all else fails, why don't you manually supply the filename? You supply the filename, so are you really, really sure that the code you are running produces the error message you are seeing?