A task, in Visual Studio, is something you do. A Task in the .NET framework is something completely different. I could make an assumption that you mean the Task Parallel Library but that would just be an assumption. If that is the one you mean, then I would suggest that you Google it - learning how to Google things effectively is a hugely valuable skill that will serve you well in life.
As for downloading the files, the pseudo-code would look something like this:
For Each File in A List Of Files
Launch a thread - taking one of these files
Download this file
End For Each
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