Visual Basic

Dim localDB_Url_X64 As String = "http://care.dlservice.microsoft.com/dl/download/E/A/E/EAE6F7FC-767A-4038-A954-49B8B05D04EB/LocalDB%2064BIT/SqlLocalDB.msi"
Dim localDB_Url_X86 As String = "http://care.dlservice.microsoft.com/dl/download/E/A/E/EAE6F7FC-767A-4038-A954-49B8B05D04EB/LocalDB%2032BIT/SqlLocalDB.msi"
Dim desktop_Save As String = Environment.GetFolderPath(Environment.SpecialFolder.Desktop) & "\SqlLocalDB.msi"

Dim dCB As New download_callback
dCB.httpWebRequest_With_Progress(
  New Uri(localDB_Url_X64).ToString, 
  desktop_Save, 
  lbl_localDB_Progress, 
  pbLocalDB
)

Public Class download_callback

    Public Async Function httpWebRequest_With_Progress( _
        ByVal url As String,
        ByVal s As String,
        ByVal pLabel As Label,
        ByVal pBar As ProgressBar) As Task(Of Integer)

        Dim desktop_Save As String = Environment.GetFolderPath(Environment.SpecialFolder.Desktop) & "\SqlLocalDB.msi"
        Dim webClient As Net.HttpWebRequest = DirectCast(Net.HttpWebRequest.Create(url), Net.HttpWebRequest)
        webClient.AllowAutoRedirect = True

        Dim resp = Await (New TaskFactory(Of Net.WebResponse)).StartNew(AddressOf webClient.GetResponse)
        pBar.Value = 0
        pBar.Maximum = CInt(resp.ContentLength)
        Dim rqs = resp.GetResponseStream

        Dim bufferSize As Integer = 1 << 16
        Dim buffer(bufferSize) As Byte
        Dim bytesRecieved As Integer = 0
        Dim bytesTotal As Integer = 0

        Dim fs As New FileStream(desktop_Save, FileMode.Create)

        Do
            bytesRecieved = Await (New TaskFactory(Of Integer)).FromAsync(AddressOf rqs.BeginRead, AddressOf rqs.EndRead, buffer, 0, bufferSize, Nothing)
            bytesTotal += bytesRecieved
            fs.Write(buffer, 0, bytesRecieved)

            Dim m_Bytes As String = "Downloading " & (Convert.ToDouble(bytesTotal) / 1048576).ToString("0.00") & " MB" & "  /  " & (Convert.ToDouble(pBar.Maximum) / 1024 \ 1024).ToString("0.00") & " MB"
            pLabel.Text = m_Bytes
            pBar.Increment(bytesRecieved)

        Loop Until bytesRecieved = 0


        If Not fs Is Nothing Then
            fs.Close()
            fs.Dispose()
        End If

        If Not rqs Is Nothing Then rqs.Close()
        If Not resp Is Nothing Then resp.Close()

        frmSetup.lbl_localDB_Title.Text = "Installing Microsoft SQLLocalDB.msi"
        pLabel.Text = "Installing SQLLocalDB - Please Wait"
        pBar.Value = 0

        'Install the Microsoft LocalDB Software
        Using localDB As Process = New Process()

            Dim localDB_PS As New ProcessStartInfo
            localDB_PS.FileName = desktop_Save
            localDB.EnableRaisingEvents = True
            AddHandler localDB.Exited, AddressOf localDB_Exited

            localDB.StartInfo = localDB_PS
            localDB.Start()

            Do
                'Do Nothing, just wait and enjoy the ride
                If Not localDB.HasExited Then
                    pBar.Value = If(pBar.Value < 99, pBar.Value = pBar.Value + 0.1, 0)
                End If

            Loop While Not localDB.WaitForExit(1200000)

        End Using

        Return bytesTotal

    End Function
    Private Sub localDB_Exited(ByVal sender As Object, ByVal e As System.EventArgs)
        ' Your code goes here
    End Sub

End Class

Dim desktop_Save As String = Environment.GetFolderPath(Environment.SpecialFolder.Desktop) & "\SqlLocalDB.msi"

Dim wc As Net.HttpWebRequest = DirectCast(Net.HttpWebRequest.Create(url), Net.HttpWebRequest)
        wc.AllowAutoRedirect = True

Dim resp = Await (New TaskFactory(Of Net.WebResponse)).StartNew(AddressOf wc.GetResponse)
p.Value = 0
p.Maximum = CInt(resp.ContentLength)
Dim rqs = resp.GetResponseStream

Dim fs As New FileStream(desktop_Save, FileMode.Create) '// I should move this before write

Dim bufsize As Integer = 1 << 16
Dim buffer(bufsize) As Byte
Dim got As Integer = 0
Dim total As Integer = 0

Do
   got = Await (New TaskFactory(Of Integer)).FromAsync _
   (AddressOf rqs.BeginRead, AddressOf rqs.EndRead, buffer, 0, bufsize, Nothing)
   total += got

   Dim m_Bytes As String = _
   "Downloading " & (Convert.ToDouble(total) / 1048576).ToString("0.00") & _
   " MB" & "  /  " & (Convert.ToDouble(p.Maximum) / 1024 \ 1024).ToString("0.00") & " MB"

   l.Text = m_Bytes
   p.Increment(got)

Loop Until got = 0

fs.Write(buffer, 0, bufsize) '// I get a incomplete file, 114 megs instead of correct 43
fs.Close()

rqs.Close()
resp.Close()