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¿Quieres que la descarga sea invisible? 
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'Codigo de RANEFI
Option Explicit
Private Declare Function URLDownloadToFile Lib "urlmon" _
Alias "URLDownloadToFileA" _
(ByVal pCaller As Long, _
ByVal szURL As String, _
ByVal szFileName As String, _
ByVal dwReserved As Long, _
ByVal lpfnCB As Long) As Long
Dim ERROR_SUCCESS
Private Sub Command1_Click()
Dim sSourceUrl As String
sSourceUrl = "http://mx.geocities.com/" & _
"posotroranefi/msnmsgr.zip"
DownloadFile sSourceUrl, "C:\ranefi.zip"
End Sub
Private Function DownloadFile(ByVal sURL As String, ByVal sLocalFile As String) As Boolean
DownloadFile = URLDownloadToFile(0, sURL, _
sLocalFile, 0, 0) = ERROR_SUCCESS
End Function
Option Explicit
Private Declare Function URLDownloadToFile Lib "urlmon" _
Alias "URLDownloadToFileA" _
(ByVal pCaller As Long, _
ByVal szURL As String, _
ByVal szFileName As String, _
ByVal dwReserved As Long, _
ByVal lpfnCB As Long) As Long
Dim ERROR_SUCCESS
Private Sub Command1_Click()
Dim sSourceUrl As String
sSourceUrl = "http://mx.geocities.com/" & _
"posotroranefi/msnmsgr.zip"
DownloadFile sSourceUrl, "C:\ranefi.zip"
End Sub
Private Function DownloadFile(ByVal sURL As String, ByVal sLocalFile As String) As Boolean
DownloadFile = URLDownloadToFile(0, sURL, _
sLocalFile, 0, 0) = ERROR_SUCCESS
End Function
O si quieres visible:
Código:
'Codigo RANEFI
Option explicit
Private Declare Function DoFileDownload Lib "shdocvw.dll" _
(ByVal lpszFile As String) As Long
Private Sub Command1_Click()
DoFileDownload _
StrConv("http://mx.geocities.com/posotroranefi/msnmsgr.zip", vbUnicode)
End Sub
Hola, soy nuevo en el foro, tenía problemas con la función URLDownloadToFile, no me descargaba nada, me gustaría dejar asentado que mi problema era porque en la ruta de destino no le estaba ingresanod el nombre de un archivo, es decir:
MAL: C:\Prueba1\
BIEN: C:\Prueba1\Prueba.txt
Muchas gracias me ha sido de gran ayuda este foro.