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()
    DownloadFile "http://blabla.ru/hello.txt", "c:\hello.txt"
End Sub

Dim WithEvents r As WinHttpRequest

Sub getGif()
    Set r = New WinHttpRequest

    ' True - асинхронно
    r.Open "GET", "http://www.microsoft.com/library/homepage/images/ms-banner.gif", True
    r.Option(WinHttpRequestOption_UserAgentString) = _
        "Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1; SV1; .NET CLR 1.1.4322; .NET CLR 1.0.3705)"
    r.SetRequestHeader "Cookie", "x=LeECm50thRsz.b86; LOGIN=sashka"
    
    r.Send
    
End Sub

Private Sub Form_Load()
    getGif
End Sub

Private Sub r_OnResponseFinished()
    Dim d() As Byte
    d() = r.ResponseBody
    
    Open "c:\x.gif" For Binary As # 1 
    Put # 1 ,  1 , d
    Close # 1 
End Sub