Imports System.Net
Imports System.Text.RegularExpressions
Imports System.IO

Class MainWindow
#Region "Variables"
    Dim response As HttpWebResponse
    Dim request As HttpWebRequest
    Dim cookies As New CookieContainer
    Dim Identificador As String
    Dim data As String
    Dim finder As MatchCollection
    Private Delegate Sub Refresher()
#End Region
#Region "API"
    Dim base As String = "http://mrtzcmp3.net/"
    Dim Extension1 As String = "_1s.html"
#End Region
#Region "Funciones"
    Public Sub tarea(ByVal URL As String)
        request = CType(HttpWebRequest.Create(base & Utils.UrlEncode(URL) & Extension1), HttpWebRequest)
        request.CookieContainer = cookies
        response = CType(request.GetResponse(), HttpWebResponse)
        For Each cook As Cookie In response.Cookies
            If cook.Name = "haras" Then
                Identificador = cook.Value
            End If
            cookies.Add(cook)
        Next
        data = New System.IO.StreamReader(response.GetResponseStream()).ReadToEnd()
        finder = Regex.Matches(data, "D\?.+? _")
        If finder.Count > 0 Then
            request = CType(HttpWebRequest.Create(base & finder(0).Value & Identificador), HttpWebRequest)
            request.CookieContainer = cookies
            response = CType(request.GetResponse(), HttpWebResponse)
            data = New System.IO.StreamReader(response.GetResponseStream()).ReadToEnd()
            finder = Regex.Matches(data, "Get_a_a_\w+\.mp3")
            If finder.Count > 0 Then
                request = CType(HttpWebRequest.Create(base & finder(1).Value), HttpWebRequest)
                request.CookieContainer = cookies
                Using Respuesta As HttpWebResponse = CType(request.GetResponse, HttpWebResponse)
                    'Asocio la respuesta al stream local
                    Dim total As Integer = Respuesta.ContentLength
                    Dim StreamRespuesta As Stream = Respuesta.GetResponseStream
                    'Bucle que lee y escribe en el fichero
                    Using ptfArchivoDestino As New FileStream("test.mp3", FileMode.Create)
                        Dim buffer(102400) As Byte '100KB
                        Dim Leido As Integer = 0
                        Dim acumulador As Integer = 0
                        Do
                            Leido = StreamRespuesta.Read(buffer, 0, buffer.Length)
                            acumulador += Leido
                            ptfArchivoDestino.Write(buffer, 0, Leido)
                            ProgressBar1.Dispatcher.Invoke(New Refresher(Sub() ProgressBar1.Value = (acumulador / total) * 100))
                            System.Threading.Thread.Sleep(50)
                        Loop Until Leido = 0 'Compruebo que no es final de transmision(1)
                    End Using
                End Using
            End If
        End If
    End Sub
#End Region
    Private Sub Button1_Click(sender As Object, e As RoutedEventArgs) Handles Button1.Click
        Dim t As System.Threading.Thread
        t = New System.Threading.Thread(AddressOf tarea)
        t.Start(TextBox1.Text)
    End Sub  
End Class
Public Class Utils
    Public Shared Function UrlDecode(ByVal value As String) As String
        If String.IsNullOrEmpty(value) Then
            Return String.Empty
        End If
        ' UrlEncode escapes with lowercase characters (e.g. %2f) but oAuth needs %2F
        value = Regex.Replace(value, "(%[0-9a-f][0-9a-f])", Function(c) c.Value.ToUpper())
        ' these characters are not escaped by UrlEncode() but needed to be escaped
        value = value.Replace("%20", " ")
        value = value.Replace("%5B", "[")
        value = value.Replace("%5D", "]")
        value = value.Replace("+", " ")
        value = value.Replace("%3A", ":")
        value = value.Replace("%23", "#")
        value = value.Replace("%C3%B1", "ñ")
        value = value.Replace("%28", "(")
        value = value.Replace("%29", ")")
        value = value.Replace("%21", "!")
        Return value
    End Function
    Public Shared Function UrlEncode(ByVal value As String) As String
        value = value.Replace(" ", "_")
        Return value
    End Function
End Class

Método 1 (Regex.Replace): 11.826 segundos 
Método 2 (String Append): 6.201 segundos