I've noticed that there are several question like this in Vb forums, and no-one with a resolutive reply. Maybe too simple question.
Otherwise, for future threads like this , the MSDN provides this code:
'this if you have a firewall
With Inet1
.URL = "your url"
.UserName = "username"
.Password = "password"
.Execute , "GET "
.Execute , "CLOSE" ' Close the connection.
End With
Dim intFile As Integer ' FreeFile variable
intFile = FreeFile()
Open "path & name of file destination" For Output As #intFile
Write #intFile, Inet1.OpenURL("your URL"

Close #intFile
End Sub
Private Sub Inet1_StateChanged(ByVal State As Integer)
Dim vtData As Variant ' Data variable.
Select Case State
' ... Other cases not shown.
Case icResponseCompleted ' 12
' Open a file to write to.
Open txtOperation For Binary Access _
Write As #intFile
' Get the first chunk. NOTE: specify a Byte
' array (icByteArray) to retrieve a binary file.
vtData = Inet1.GetChunk(1024, icString)
Do While LenB(vtData) > 0
Put #intFile, , vtData
' Get next chunk.
vtData = Inet1.GetChunk(1024, icString)
Loop
Put #intFile, , vtData
Close #intFile
End Select
End Sub