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()