Use the Inet Control (MSINET.OCX)

Code:
Private Sub DownloadFile(ByVal URL as String, ByVal LocalFile as String)
    Dim b() as Byte
    Open LocalFile for Binary As #1
    b() = Inet1.OpenURL(URL, icByteArray)
    Put #1, , b()
    Close #1
End Sub

Private Sub cmdGetUpdate_Click()
    DownloadFile "http://free.digitalriver.com/pub/strata3/strata3d.zip", "C:\strata3d.zip"
End Sub
This will downlaod a pretty cool program. enjoy