PowerShell v3 comes with a hugely useful new cmdlet called
Invoke-WebRequest. You can use it to interact with websites which also includes downloading files.
This will download the SysInternals suite of tools to your computer:
$Source = 'http://download.sysinternals.com/files/SysinternalsSuite.zip'
$Destination = "$env:temp\sysinternalssuite.zip"
Invoke-WebRequest -uri $Source -OutFile $Destination
Since downloaded files are blocked by Windows, PowerShell v3 comes with yet another new cmdlet:
Unblock-File removes the block. Now you're ready to unzip the file.
If your Internet connection requires proxy settings or authentication, take a look at the parameters supported by