It would look something like this:
Code:
Dim WithEvents wc As New WebClient
Private Sub wc_DownloadProgressChanged(ByVal sender As Object, ByVal e As System.Net.DownloadProgressChangedEventArgs) Handles wc.DownloadProgressChanged
ProgressBar1.Value = e.ProgressPercentage
End Sub
Private Sub Button3_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button3.Click
wc.DownloadFile("http://server/somefile.dat", "C:\Temp\download.dat")
End Sub