So occasionally I want to write a script but I'll need it to download something from a website or wherever. Without using 3rd party utilities you're pretty well hosed in the windows world. Except for BITSadmin.
Bitsadmin is very handy for this process, sometimes it doesn't work and spouts out some error about server didn't respond with file size or some such nonsense, but for the most part it's fairly reliable.
bitsadmin /transfer jobname /download /priority normal http://addreess.com/file.ext "%cd%\whatever.ext"