WebClient wc = new WebClient();
wc.DownloadFile("http://www.yoursite.com/filename.txt", @"c:\filename.txt");

private void OnDownload_Click(object sender, EventArgs event)
{
  WebClient wc = new WebClient();
  //listen to file download completed event
  wc.DownloadFileCompleted += new AsyncCompletedEventHandler(OnDownloadCompleted);
  //listen to progress state change event
  wc.DownloadProgressChanged += new DownloadProgressChangedEventHandler(OnProgressChanged);
 
  wc.DownloadFileAsync(new Uri("http://www.yoursite.com/filename.txt"), @"c:\filename.txt");
}
 
private void OnProgressChanged(object sender, DownloadProgressChangedEventArgs event)
{
  myProgressBar.Value = event.ProgressPercentage;
}
 
private void OnDownloadCompleted(object sender, AsyncDownloadCompletedEventArgs event)
{
  MessageBox.Show("Download Finished!!");
}