http://www.csharp-examples.net/download-files/

Download File Synchronously

The following code shows how to download file synchronously. This method blocks the main thread until the file is downloaded or an error occur (in this case the WebException is thrown).

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Download File Asynchronously

To download file without blocking the main thread use asynchronous method DownloadFileA­sync. You can also set event handlers to show progress and to detect that the file is downloaded.

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Note: Although you use asynchronous method, it can block the main thread for a while. It's because before the async download itself, it checks the DNS name (in this case „mysite.com“) and this check is done internally by blocking function. If you use directly IP instead of domain name, the DownloadFileAsync method will be fully asynchronous.