Why Web client?
I've developed the application called
HttpDownloader and shared its
full source code here:
how to download a file from internet[
^].
You can consult this source code to see how to do it right. It let you to continue the interrupted downloads, which is very important. It served me very well for a long time; I never saw any problems.
Before you develop your own code you can test your URLs on my program to make sure they can really be uses to test your code.
Enjoy,
—SA