To download a file from the Internet with IE, use the DoFileDownload api function:

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

Private Sub Command1_Click()

   Dim sDownload As String

   sDownload = StrConv("http://www.site.com/downloads/file.zip", vbUnicode)
   Call DoFileDownload(sDownload)

End Sub