you can ftp to the site, but i belive as for a command like "download http://files.com/file.zip" one does not exist without having to download an EXE and installing it.

FTP COMMANDS

!
delete
literal
prompt
send
?
debug
ls
put
status
append
dir
mdelete
pwd
trace
ascii
disconnect
mdir
quit
type
bell
get
mget
quote
user
binary
glob
mkdir
recv
verbose
bye
hash
mls
remotehelp
cd
help
mput
rename
close
lcd
open
rmdir