There is a nice C# wrapper for the Yahoo.Finance API at http://code.google.com/p/yahoo-finance-managed/ that will get you there. Unfortunately there is no direct way to download the ticker list but the following creates the list by iterating through the alphabetical groups:
AlphabeticIDIndexDownload dl1 = new AlphabeticIDIndexDownload();
dl1.Settings.TopIndex = null;
Response<AlphabeticIDIndexResult> resp1 = dl1.Download();
writeStream.WriteLine("Id|Isin|Name|Exchange|Type|Industry");
foreach (var alphabeticalIndex in resp1.Result.Items)
{
AlphabeticalTopIndex topIndex = (AlphabeticalTopIndex) alphabeticalIndex;
dl1.Settings.TopIndex = topIndex;
Response<AlphabeticIDIndexResult> resp2 = dl1.Download();
foreach (var index in resp2.Result.Items)
{
IDSearchDownload dl2 = new IDSearchDownload();
Response<IDSearchResult> resp3 = dl2.Download(index);
int i = 0;
foreach (var item in resp3.Result.Items)
{
writeStream.WriteLine(item.ID + "|" + item.ISIN + "|" + item.Name + "|" + item.Exchange + "|" + item.Type + "|" + item.Industry);
}
}
}
It gave me a list of about 75,000 securities in about 4 mins.