httpWebRequest myreq = (HttpWebRequest)WebRequest.Create("https://webdav.yandex.ru/" + "1.mp3");

WMPLib.WindowsMediaPlayer WMP = new WMPLib.WindowsMediaPlayer();
this.Text = WMP.versionInfo;
WMP.URL = @"C:\Music\1.mp3 ";
WMP.WMP.controls.play();

httpWebRequest myreq = (HttpWebRequest)WebRequest.Create("https://webdav.yandex.ru/" + "1.mp3");

String lsResponse = string.Empty;
               using (HttpWebResponse lxResponse = (HttpWebResponse)myreq.GetResponse())
               {
                   using (BinaryReader reader = new BinaryReader(lxResponse.GetResponseStream()))
                   {
                       Byte[] lnByte = reader.ReadBytes(1 * 1024 * 1024 * 10);
                       using (FileStream lxFS = new FileStream("C:/2/2.mp3", FileMode.Create))
                       {
                           lxFS.Write(lnByte, 0, lnByte.Length);
                       }
                   }