Like wget or curl, but without having to install either of those progs?
Jupp, if you are using Windows 7 Powershell should be installed by default so then you open a shell and type
to download the resource at the specified URL to your disk using the supplied filename.
If you do this frequently then it might be worthwhile to create a function in your Powershell profile. To do this, create the file %UserProfile%\My Documents\WindowsPowerShell\Microsoft.PowerShell_profile.ps1 and add for instance the following function
Then you can download a file from Powershell through the slightly more convenient