I want to download a file from a given link. How to do it from command line in Windows? Its a MIT open course ware zip file whose size is bigger than what is allowed on our network. Or is there is legal site through which I can download this file?
You can get Wget for Windows and use it from command line.
But, what do you mean by 'bigger than allowed on your network'?
Further on your comment:
I would also suggest talking with your squid admin to reason out your need for the download.
Finally, you do not really need the command line for this.
The message "request or reply too large" is an indication that your web proxy (squid) has a limit on the size of downloads.
I'm not sure if you can get around that, apart from removing/upping that limit.