Уже несколько лет успешно использую код (для себя в макросе Excel):
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
    res = DownLoadFile("http://www.file.ru/", "c:\tmp\myfile.txt")