To answer your second question, you get that message because Microsoft will not provide
ANY support to users of OEM software, which includes "software pre-installed by the device manufacturer." Under the terms of Microsoft's license, the device manufacturers are responsible for support, which is why they can buy Windows at a
price low enough to include with the computer and still make a profit.
Unfortunately, the Heidoc "Windows ISO Downloader" program appears to require "Windows 7 or newer."

You can see if redownloading the exe file will help, but I suspect that at this point your only option is to find a Windows 7 or newer computer with an Internet connection that you can use to download the ISO file.
Perhaps a friend or a public library or Internet cafe. If you use a publicly-available computer, make sure that the proprietor permits downloads AND that the computer has a USB port so you can attach a USB flash drive (public computers rarely have DVD burner
drives). You'll need a USB flash drive that has at least 4 GB free.
Note that you will be just copying the ISO file to the USB flash drive. You'll still have to make a bootable DVD or USB flash drive in order to install Windows. If you intend to make a bootable USB flash drive to install Windows (using
RUFUS), you'll have to copy the ISO file to your laptop first, because Rufus will repartition and reformat the USB flash drive as the first step in making it bootable.