This is a poorly worded question, but I will try to answer based on what I can guess you are trying to do.
You can telnet/ssh/remote desktop to another host, like a PC. You can then download files to that host. However, the remote host must allow access to you. Most modems do not allow the capabilities you are describing.
There are VPN tunnels which allow you to connect to a remote network as if you were there locally. You could then download files which would go through their network. Here is the kicker, in order to get to your network they have to go through the VPN tunnel. This is using your bandwidth. In actuality, its using more bandwidth than if you were just to download the files yourself. This is due to the overhead of the VPN encryption. Also, you cant just VPN wherever you like. Software/hardware is required, not to mention you have to be given access.
If you are trying to do this as a cost cutting method, as if you were paying a per megabyte charge by your ISP, then this doesnt save you anything. In actuality it will cost you slightly more.
If you are trying to hide the files you are downloading from prying eyes, then this wont work either, as the remote network knows who you are and what you are doing.
It might help for you to explain what you are trying to accomplish. However, I have a feeling its something you want not to be public.