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Using sockets for "downloader" application in Mathematica


Hello,

I have a Mathematica program which will read data from a file. 
The file is in a Web server and so must be retrieved,
so I use 

!"wget http://URL/filename";


In Linux this is OK, but in Windows this is a source of trouble for me, 
as Windows doesn't have a 'wget' by default.

So, is there some way to implement a "downloader" for a file in 
Mathematica?


Running Mathematica 5.2, Windows XP.


Thanks,
Renan.


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