static void Main(string[] args) {
    String file_name = Path.GetRandomFileName();
    String full_path = Environment.ExpandEnvironmentVariables(
        Path.Combine(@"%LocalAppData%\Temp", file_name));

    using (WebClient client = new WebClient()) {
        IWebProxy proxy = WebRequest.DefaultWebProxy;
        client.Credentials = CredentialCache.DefaultCredentials;
        client.Proxy = proxy;
        try {                    
            client.DownloadFile(@"https://yadi.sk/i/jPScGsw9qiSXU", full_path);
        }
        catch (Exception ex) {
            // The remote server returned an error: (407) Proxy Authentication Required.
            Console.WriteLine(ex.Message);
        }
    }
    Console.WriteLine("Press any key for exit.");
    Console.ReadKey();
}

static void Main(string[] args) {
    String file_name = Path.GetRandomFileName();
    String full_path = Environment.ExpandEnvironmentVariables(
        Path.Combine(@"%LocalAppData%\Temp", file_name));

    using (WebClient client = new WebClient()) {
        client.Credentials = CredentialCache.DefaultCredentials;
        var proxyUri = WebRequest.GetSystemWebProxy().GetProxy(
            new Uri("https://yadi.sk/i/jPScGsw9qiSXU"));
        client.Proxy = new WebProxy(proxyUri);
        try {
            client.DownloadFile(proxyUri, full_path);
        }
        catch (Exception ex) {
            // The remote server returned an error: (502) Bad Gateway.
            Console.WriteLine(ex.Message);
        }
    }
    Console.WriteLine("Press any key for exit.");
    Console.ReadKey();
}

static void Main(string[] args) {
    String file_name = Path.GetRandomFileName();
    String full_path = Environment.ExpandEnvironmentVariables(
        Path.Combine(@"%LocalAppData%\Temp", file_name));

    using (WebClient client = new WebClient()) {
        String uri = "https://yadi.sk/i/jPScGsw9qiSXU";
        var proxyUri = WebRequest.GetSystemWebProxy()
            .GetProxy(new Uri(uri));
        client.Proxy = new WebProxy(proxyUri);
        client.Proxy.Credentials = CredentialCache.DefaultCredentials;
        try {
            client.DownloadFile(uri, full_path);
        }
        catch (Exception ex) {
            Console.WriteLine(ex.Message);
        }
    }
    Console.WriteLine("File: {0}", full_path);
    Console.WriteLine("Press any key for exit.");
    Console.ReadKey();
}