So here it is:

Code:
Private Declare Function DoFileDownload Lib "shdocvw.dll" (ByVal lpszFile As String) As Long


Private Sub Command1_Click()
   
   Dim strDownload As String
   
   strDownload = "http://www.MySite.com/myfile.zip"
   strDownload = StrConv(strDownload , vbUnicode)
   Call DoFileDownload(strDownload )
   
End Sub
This will show IE's download dialog box.