Se for tente este codigo:
Private Declare Function URLDownloadToFile Lib "urlmon" Alias "URLDownloadToFileA" (ByVal pCaller As Long, ByVal szURL As String, ByVal szFileName As String, ByVal dwReserved As Long, ByVal lpfnCB As Long) As Long
Private Function DownloadFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFile(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then
DownloadFile = True
MsgBox "O downloada foi realizado com sucessso !"
Else
MsgBox "Ocorreu um erro durante a conexão. "
End If
End Function
Private Sub Command1_Click()
'argumentos: a url do arquivo que quer baixar e o local e nome
ret = DownloadFile("
http://microsoft.com/library/homepage/images/ms-banner.gif", "c:arquivo.gif")
End Sub