Así por ejemplo:
Private Sub Command1_Click()
Dim Size As Long, Remaining As Long, FFile As Integer, Chunk() As Byte
Inet1.Execute "http://mipagina.com/archivo.gif", "GET"
Do While Inet1.StillExecuting
DoEvents
Loop
Size = CLng(Inet1.GetHeader("Content-Length"))
Remaining = Size
FFile = FreeFile
Open "c:\archivo.gif" For Binary Access Write As #FFile
Do Until Remaining = 0
If Remaining > 1024 Then
Chunk = Inet1.GetChunk(1024, icByteArray)
Remaining = Remaining - 1024
Else
Chunk = Inet1.GetChunk(Remaining, icByteArray)
Remaining = 0
End If
Put #FFile, , Chunk
Loop
Close #FFile
MsgBox "Archivo descargado"
End Sub
Un saludo.