Great. I just tried it:
downloadfile('http://www.levelextreme.com/wconnect/wc.dll?FournierTransformation~2,2,10002/oledbfox.zip','d:\OleDBFox.zip')

Is it possible to show progress while downloading?

********************************************************************
*  Description.......: DownloadFile
*  Calling Samples...: DownloadFile("http://www.mywebsite.com/myfile.txt","c:\temp\myfile.txt")
*  Parameter List....: tcURLFile, tcLocalFile
*  Created by........: Ramon F. Jaquez  
*  Modified by.......: Nadya Nosonovsky 10/09/2002 09:50:50 AM
********************************************************************
lparameters tcURLFile, tcLocalFile
if vartype(m.tcURLFile)<>"C"
   tcURLFile = InputBox('Enter URL for file for Download','URL',space(200))
   if empty(m.tcURLFile)
      return .f.
   endif
endif
if vartype(m.tcLocalFile)<>"C"
   tcLocalFile = InputBox('Enter local name of the file','Local file',space(200))
   if empty(m.tcLocalFile)
      return .f.
   endif
endif
       
LOCAL nResult

DECLARE LONG URLDownloadToFile IN URLMON.DLL ;
        LONG, STRING, STRING, LONG, LONG

*!*	cURL  = "http://www.mywebsite.com/myfile.txt"
*!*	cFile = "c:\temp\myfile.txt"
wait window nowait 'Wait while downloading the file...'
nResult = URLDownloadToFile(0, m.tcURLFile, m.tcLocalFile, 0, 0)
wait clear

if m.nResult <> 0    && OK
   =messagebox('Download failed!',48,'Failure')
endif   

return m.nResult = 0

>This is one way to do this...
>
>

>
>LOCAL cFile, nResults, cURL
>
>DECLARE LONG URLDownloadToFile IN URLMON.DLL ;
>        LONG, STRING, STRING, LONG, LONG
>
>cURL  = "http://www.mywebsite.com/myfile.txt"
>cFile = "c:\temp\myfile.txt"
>
>nResults = URLDownloadToFile(0, cURL, cFile, 0, 0)
>
>If nResult = 0    && OK
>
>

>
>>If I know the exact URL of a file (.EXE for example) is there a way to download it programmatically, without any human interaction (no Save As dialog, etc.)?