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 DownLoadFile(URL As String, LocalFilename As String) As Boolean
    Dim lngRetVal As Long
    lngRetVal = URLDownloadToFile( 0 , URL, LocalFilename,  0 ,  0 )
    If lngRetVal =  0  Then DownLoadFile = True
End Function
Private Sub Form_Load()
    ' копирует файл с сайта на  "c:\"
    DownLoadFile "http://www.sql.ru/forum/images/happy.gif", "c:\happy.gif"
    
    MsgBox "c:\happy.gif"
End Sub