Prova così:
codice:
Dim request As WebRequest = WebRequest.Create("http://nome.altervista.org/miofile.exe")
request.Proxy = proxy
Dim response As HttpWebResponse = CType(request.GetResponse(), HttpWebResponse)
Dim respStream As Stream = response.GetResponseStream()
Dim wrtr As New FileStream("C:\mioFile.exe", FileMode.Create)
Dim inData As Byte() = New Byte(4095) {}
Dim bytesRead As Integer = respStream.Read(inData, 0, inData.Length)
While bytesRead > 0
wrtr.Write(inData, 0, bytesRead)
bytesRead = respStream.Read(inData, 0, inData.Length)
End While
respStream.Close()
wrtr.Close()