HTTPCopy is a FREE standalone executable that allows you to directly copy a web file or web page locally. Rather than going to a website and download content manually, you can automate this using the HTTPCopy utility. Below you see an example I am personally using to download the Maxmind GeoLiteCity database I use for one of my blog plugins.
HTTPCOPY.EXE http://geolite.maxmind.com/download/geoip/database/GeoLiteCity.dat.gz GeoLiteCity.dat.gz
You can download HTTPCopy from here