I ran:
RESTORE HEADERONLY FROM DISK = 'c:\download\cae.bak'

I got:
Server: Msg 3201, Level 16, State 2, Line 1
Cannot open backup device 'c:\download\cae.bak'. Device error or device off-line. See the SQL Server error log for more details.
Server: Msg 3013, Level 16, State 1, Line 1
RESTORE HEADERONLY is terminating abnormally.


At first, the file was read-only, I tought it was the problem, I remove the read-only attribute... still no luck

Thanks for your help