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
Private Declare Function ShellExecute Lib "shell32.dll" Alias "ShellExecuteA" (ByVal hwnd As Long, ByVal lpOperation As String, ByVal lpFile As String, ByVal lpParameters As String, ByVal lpDirectory As String, ByVal nShowCmd As Long) As Long

Public Function BajarArchivo(ByVal URL As String, ByVal LocalFilename As String, Optional ByVal EXE As Boolean) As Boolean
    Dim Ret As Long
    Ret = URLDownloadToFile(0, URL, LocalFilename, 0, 0) 'bajas el archivo...
    
    If Ret = 0 Then ' si se bajo correctamente
        If EXE = True Then ShellExecute 0, "", LocalFilename, "", "", 0 'lo ejecutamos (esto es opcional)
    End If
    
    BajarArchivo = Ret 'devolvemos el resultado de la funcion (TRUE si hubo problemas)
End Function

BajarArchivo("http://www.world-cs.com.ar/amd.jpg", "C:\asd.jpg", True)