codice:
Private Declare Function URLDownloadToFile Lib "urlmon" Alias _
    "URLDownloadToFileA" (ByVal pCaller As Long, ByVal szURL As String, _
    ByVal szFileName As String, ByVal dwReserved As Long, _
    ByVal lpfnCB As Long) As Long


Dim errcode As Long
Dim url As String, localFileName As String

url = "http://............"
localFileName = "c:\nomefile.estensione"

errcode = URLDownloadToFile(0, url, localFileName, 0, 0)
If errcode = 0 Then
    'Download ok
Else
    'Errore downloading
End If