I'm not sure I understand how this is "worm"-able - it still requires the user to manually execute the downloaded file? How is this any different from pasting a link to a "lol.jpg.exe" malware?
The more you make your malware look like legit, the likelier that people fall for it. It's not a huge difference, but I guess more people would fall for the latter.
[and of course, it is unlikely that microsoft.com is suspectible to this attack. I don't even know whether it works anywhere at all anymore (from a comment elsewhere in this thread, Google fixed it on their site)]