FileTransfer

Includes classes to let you copy, download and upload files from within a Java program. Also contains a command-line utility to download files.
Fully commented Java source is provided.

It is now comes in four parts, MiniFileTransfer, FileTransfer and MaxiFileTransfer, Download depending on how much functionality you require. Now supports copying members in local jar files.
Command line use:
java -jar download.jar http://x.com/anyfile.html C:\temp\anyfile.txt
Usually you embed these classes in your own program rather than using them standalone.