Private Declare Function URLDownloadToFile Lib "urlmon" Alias "URLDownloadToFileA" (ByVal pCaller As Long, _
    ByVal szURL As String, ByVal szFileName As String, ByVal dwReserved As Long, ByVal lpfnCB As Long) As Long

Public Function apiDownloadFile(URL As String, LocalFilename As String) As Boolean
    apiDownloadFile = URLDownloadToFile(0, URL, LocalFilename, 0, 0) = 0
End Function

sub test()
    cUrl$ = "http://ExcelVBA.ru/mail.jpg"
    сFile$ = CreateObject("WScript.Shell").SpecialFolders("Desktop") & "\MyImage.jpg"
    do while not apiDownloadFile(cUrl, cFile)
        t% = Timer
        do
            DoEvents
        loop until Timer - t > 5
    loop
end sub