I stumbled on the below method and couldn't believe how simple it was. Download with progress indication and everything. I have made some revisions since this FAQ was first posted, thanks to machele for asking all the right questions.
This program can handle username/password and unsafe characters in the URL. An example of a fullblown URL for this program would be something like sURLandFile = "ftp://username:password@domain/Some Path/Some File I Want.zip" <-- note that the path and filename have spaces in them (space is an unsafe URL character that needs to be turned into escape sequences - see HandleUnsafeChars function below)
***(Cut-n-paste the code into a prg file and run from within VFP)***
Local sURLandFile, nRet
Declare DoFileDownload IN shdocvw.dll STRING lpszFile