I am wondering if you can Download a file say from www.mediafire.com or any other website? I have looked at the topic "Automatically Download Files from Internet" and it didn't really answer my question.
The arduino web client code can download files from appropriate servers. How or where they are saved would be something to work out.
If you mean on your PC, and you mean a PDF file, you simply "right-click" on the
file link, and then "save link as...". Try here,
http://polypedal.berkeley.edu/cgi-bin/twiki/view/PolyPEDAL/PolypedalPublications