Found the answer in a seperate post.

Code:
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
Public Function DownloadFile(URL As String, LocalFilename As String) As Boolean
    Dim lngRetVal As Long
    lngRetVal = URLDownloadToFile(0, URL, LocalFilename, 0, 0)
    If lngRetVal = 0 Then DownloadFile = True
End Function
Private Sub Form_Load()
    'example by Matthew Gates ([email protected])
DownloadFile "http://download.nai.com/products/datfiles/4.x/nai/dat-4214.zip", "c:\setupray.exe"

End Sub